Similar Search Results

Tirtiroglu, Dogan - 2017

Are REITs income stocks, only? Following Myers (1977) and Bernardo et al. (2007), we examine empirically REITs' unlevered betas, betas of growth options, betas of assets-in-lace and the difference between the latter two in detail for 1983-2012, and also for three sequential, distinct, than those...

Persistent link: https://www.econbiz.de/10012944352

Implied Equity Premium and Market Beta

Chow, Victor; Gu, Jiahao; Wang, Zhan - 2021

We extend the ex-ante mean-variance (SVIX) models of Martin (2017) and Martin-Wagner (2019) to a mean-variance-asymmetry (AVIX) framework for incorporating higher-moment and co-moment risk in asset pricing. AVIX is a risk-neutral measure of the left-tail asymmetries in return that corrects the...

Persistent link: https://www.econbiz.de/10013242103

An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange

Tahir, Mohammad - 2013

Sharpe's (1964) Capital Asset Pricing Model (CAPM) assumes that the relationship between risk and return is positive …, linear and significant. However, it is not free from controversies and one of them advocates replacing CAPM's beta by … Hogan and Warren (1974) replace variance with semivariance in CAPM as the first official version of downside risk based CAPM …

Persistent link: https://www.econbiz.de/10013084203

Which Beta is Best? On the Information Content of Option-Implied Betas

Baule, Rainer - 2014

Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed in previous literature, but very little is known...

Persistent link: https://www.econbiz.de/10013061242

Estimating Illiquid Asset Class Alpha and Beta using Secondary Transaction Prices

Godwin, CFA, Alexander - 2022

This paper introduces a novel method for estimating the true economic alpha and market beta of illiquid asset classes using secondary transaction prices. Furthermore, this approach can be used to measure the degree of stale pricing in the reported returns of such asset classes. We apply this...

Persistent link: https://www.econbiz.de/10014361324

Investor Betas

Lewis, Ryan; Santosh, Shrihari - 2021

Investors’ return on their portfolios, as proxied by the market, is a theoretically appealing but empirically unsuccessful asset pricing factor. In practice, many institutional investors choose to deviate substantially from the market portfolio. We propose a simple model in the spirit of...

Persistent link: https://www.econbiz.de/10013249518

Which beta is best? : on the information content of option-implied betas

Baule, Rainer; Korn, Olaf; Saßning, Sven - 2013

Persistent link: https://www.econbiz.de/10010230656

Determinants of Market Beta : The Impacts of Firm-Specific Accounting Figures and Market Conditions

Schlueter, Tobias - 2013

This article examines and extends research on the relation between the capital asset pricing model (CAPM) market beta …

Persistent link: https://www.econbiz.de/10013093570

Estimating Beta : Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Hollstein, Fabian - 2019

Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator based on daily return data with an exponential weighting...

Persistent link: https://www.econbiz.de/10012900674

The Low Beta Anomaly : A Corporate Bond Investor's Perspective

Bektic, Demir - 2018

The low beta anomaly is well documented for equity markets. However, the existence of such a factor in corporate bond markets is less explored. I find that European corporate bonds of firms with a low equity beta have higher risk-adjusted returns, on average, than European corporate bonds of...

Persistent link: https://www.econbiz.de/10012934109