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Daily Data is Bad for Beta : Opacity and Frequency-Dependent Betas

Gilbert, Thomas - 2013

the difference between low and high frequency betas (dBeta) yields large systematic mispricings relative to the CAPM at … that the CAPM can hold at high frequencies and more factors are needed to price assets at low frequencies, we show that the … CAPM may be an appropriate asset pricing model at low frequencies but that additional factors, such as one based on opacity …

Persistent link: https://www.econbiz.de/10013091348

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 the Assets-in-Place Beta : A Feedback Algorithm

Andrés, Pablo de - 2010

Based on the linear decomposition of a firm's beta on the betas of its growth options and its Assets in Place, we propose a feedback algorithm to estimate the latter. Our proposal is founded on the existence of risk classes defined by a specific level of systematic risk for current business and...

Persistent link: https://www.econbiz.de/10013152718

Political Beta

Fisman, Raymond J. - 2020

Using a framework akin to portfolio theory in asset pricing, we introduce the concept of “political beta” to model firm-level export diversification in response to global political risk. The main implication of our model is that a firm is less responsive to changes in political relations...

Persistent link: https://www.econbiz.de/10012840051

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

Asset Pricing Under Prior-Induced Beta Uncertainty

Hu, Shuting (Sophia) - 2018

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...

Persistent link: https://www.econbiz.de/10012935196

Bear Beta

Lu, Zhongjin - 2018

We test whether bear market risk - time-variation in the probability of future bear market states - is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded S&P 500 index options and use its returns to measure bear market risk. We find that bear...

Persistent link: https://www.econbiz.de/10012935219

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

Long- and Short-Run Components of Factor Betas : Implications for Stock Pricing

Asgharian, Hossein - 2020

We propose a bivariate component GARCH-MIDAS model to estimate the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and that it estimates these moments...

Persistent link: https://www.econbiz.de/10012853667

Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program

Liu, Clark - 2020

Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with...

Persistent link: https://www.econbiz.de/10012855747