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

* that mimics realized outcomes on the implied market index adjusted for volatility-asymmetry …

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

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012105362

Persistence in the realized betas : some evidence for the Spanish stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

Persistent link: https://www.econbiz.de/10012194334

CAPM verification using overnight and daytime returns

Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies 28 (2020) 4, pp. 209-227

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive...

Persistent link: https://www.econbiz.de/10012592728

Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes : Is There an Optimum?

Agrrawal, Pankaj; Gilbert, Faye; Harkins, J - 2022

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months …. We identify that daily CAPM betas are best for predicting subsequent period daily returns and that weekly CAPM betas are … interval-based CAPM betas should be calculated for estimating the systematic risk embedded in diversified portfolios …

Persistent link: https://www.econbiz.de/10014235953

Unemployment Beta and the Cross-Section of Stock Returns : Evidence From Australia

Huynh, Nhan - 2022

This study provides evidence of the significant impacts of unemployment indicators, including the projected unemployment rate and actual unemployment gap, on the cross-sectional stock returns in the Australian market. Utilising the extensive dataset of all listed stocks and unemployment data...

Persistent link: https://www.econbiz.de/10013406088

Climate Sensitivity and Mutual Fund Performance

Ho, Thang - 2021 - This version: October 2021

In the presence of rising concern about climate change that potentially affects risk and return of investors’ portfolio companies, active investors might have dispersed climate risk exposures. We compute mutual fund covariance with market-wide climate change news index and find that high...

Persistent link: https://www.econbiz.de/10013229876

Performance evaluation of global high-rated ETFs during the taper tantrum

Marios, Arampatzis; Kalliopi, Daskalou; Evangelia, … - In: Journal of central banking theory and practice 9 (2020) 1, pp. 23-44

employing the Capital Asset Pricing Model (CAPM), we evaluate the performance of fifty ETFs according to their rating by the …

Persistent link: https://www.econbiz.de/10012167185

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

Persistent link: https://www.econbiz.de/10009746020