We investigate the relative risk of value to growth using a model that considers time-variation in investors' risk preferences and return distributions. In this model, three well-known conventional equilibrium risk measures are allowed to regime-switch over time; beta, downside beta, and higher...

We investigate the factor exposure of smart beta ETFs under model uncertainty using Bayesian variable selection. We find that smart beta ETFs have exposures to several factors, including size, value, momentum, quality, volatility/low beta, and dividend yield. The average return contribution of...

We revisit the relationship between betas and cross-sectional asset returns, by investigating asymmetric responses of asset returns to the market portfolio return and their relationship with firm characteristics. We demonstrate that post-formation portfolios in asset pricing tests, which are...