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Can Cash-Flow Beta Explain the Value Premium?

Zhou, Bo - 2018

It is well documented that the cash flow beta can partly explain the source of the value premium. This paper presents an empirical test that cast doubt on this widely accepted belief. We double sort the stocks with their value and quality dimension and obtain four corner portfolios: (A)...

Persistent link: https://www.econbiz.de/10012911648

The Low-Minus-High Portfolio and the Factor Zoo

Andrei, Daniel - 2019

Regardless of whether the CAPM is rejected for valid reasons or by mistake, a single long-short portfolio will always …

Persistent link: https://www.econbiz.de/10012889090

Same Firm, Different Betas

Lewis, Ryan - 2019

Models of integrated asset markets predict that the debt and equity of the same firm have similar exposure to systematic risk. However, controlling for default probability, firms with a higher proportion of asset level systematic risk do not have commensurately higher spreads on either their...

Persistent link: https://www.econbiz.de/10012890571

Quantile Spectral Beta : A Tale of Tail Risks, Investment Horizons, and Asset Prices

Baruník, Jozef - 2019

We examine how extreme market risks are priced in the cross-section of asset returns at various horizons. Based on the decomposition of covariance between indicator functions capturing fluctuations of different parts of return distributions over various frequencies, we define a \textit{quantile...

Persistent link: https://www.econbiz.de/10012899016

Biases in CAPM Beta Estimation

Chen, Linda H. - 2018

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression … setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily … strong exogeneity conditions. As such, the OLS estimator of CAPM beta is likely biased. Based on the empirical patterns of …

Persistent link: https://www.econbiz.de/10012935615

Housing 'Beta' Common Risk Factor in Returns of Stocks

Sunderman, Mark - 2019

This study proposes the housing "beta" and tests whether the housing "beta" is a significant determinant for stock returns in a multifactor framework. We hypothesize that the housing market is a systematic risk factor given the impact of the housing market on the overall economy and economics...

Persistent link: https://www.econbiz.de/10012869422

Unconditional Asset Pricing When Betas Covary with the Riskless Rate

Saxena, Konark - 2017

average riskless rate. Implementing this relation for the CAPM and ICAPM, I find a remarkable improvement. In striking … contrast to extant evidence, an unconditional CAPM with two factors (corresponding to expected beta and kappa) explains 58% of …

Persistent link: https://www.econbiz.de/10012970930

Beta Bubbles

Jylha, Petri - 2017

temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …

Persistent link: https://www.econbiz.de/10012971144

Back to the Future Betas : Empirical Asset Pricing of US and Southeast Asian Markets

French, Jordan - 2017

. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …

Persistent link: https://www.econbiz.de/10012971436

Timescale Betas and the Cross Section of Equity Returns : Framework, Application, and Implication for Interpreting the Fama-French Factors

Kang, Byoung Uk - 2017

We show that standard beta pricing models quantify an asset's systematic risk as a weighted combination of a number of different timescale betas. Given this, we develop a wavelet-based framework that examines the cross-sectional pricing implications of isolating these timescale betas. An...

Persistent link: https://www.econbiz.de/10012975315