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Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation
Miyamoto, Kenji - 2018
The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …
Persistent link: https://www.econbiz.de/10012907181
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Evaluating the Efficiency of 'Smart Beta' Indexes
Hunstad, Michael - 2015
The past several years have witnessed the introduction of hundreds of so-called “smart beta” equity indices. These indices provide exposure to risk factors, such as value or low volatility, in order to seek excess return and/or risk reduction compared to cap-weighted indices. Although the...
Persistent link: https://www.econbiz.de/10013032165
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Evaluating Alternative Beta Strategies
Kang, Xiaowei - 2012
In recent years, there has been a proliferation of alternatively weighted (“alternative beta”) indices, such as fundamentally weighted indices, equal-weighted indices and low-volatility indices. We have surveyed a broad range of alternative beta strategies that have gained significant...
Persistent link: https://www.econbiz.de/10013101531
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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
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Stochastic Portfolio Theory and the Low Beta Anomaly
Agapova, Anna - 2018
Many studies have found that portfolios of low beta stocks have higher growth rates than portfolios of high beta stocks and have concluded that low beta stocks have higher growth rates than high beta stocks. Since rational investor behavior is thought to imply that additional risk is rewarded...
Persistent link: https://www.econbiz.de/10012909054
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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
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Calculating Betas
Velez-Pareja, Ignacio - 2011
This teaching note shows the relationship between levered and unlevered betas and the general formulation for the cost of equity. It also shows, step by step, the procedure to estimate betas from data found in the stock market.It shows well known procedures for estimating betas: correlation...
Persistent link: https://www.econbiz.de/10013128991
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Cálculo de Betas (Calculating Betas)
Velez-Pareja, Ignacio - 2012
Este trabajo muestra la relación entre las betas apalancadas y sin deuda y la formulación general para el costo del capital. También muestra, paso a paso, el procedimiento para calcular las betas a partir de los datos que se encuentran en el mercado de valores. Se muestran procedimientos...
Persistent link: https://www.econbiz.de/10013115159
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A Taxonomy of Beta Based on Investment Outcomes
De Boer, Sanne - 2016
The traditional active vs passive debate has been shaken up by the emergence of “smart beta” strategies. As the population of these products has exploded, the quest to differentiate among them has focused on portfolio construction techniques rather than what actually matters, namely...
Persistent link: https://www.econbiz.de/10013000102
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Estimating Beta When the CAPM Is True
Ferguson, Robert - 2017
Perhaps the most frequently used estimator of the Capital Asset Pricing Model beta in finance is the Ordinary Least Squares estimate, obtained by regressing excess security return against excess market return, with an intercept. This paper shows that the Ordinary Least Squares estimator is...
Persistent link: https://www.econbiz.de/10012953579