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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

Beta Risk in the Cross-Section of Equities

Boloor, Ali - 2019

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify …

Persistent link: https://www.econbiz.de/10012899147

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...

Persistent link: https://www.econbiz.de/10011646407

Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly

Cederburg, Scott - 2015

unconditional Capital Asset Pricing Model (CAPM) alpha, such that it appears to pay to "bet against beta." We show, however, that … conditional market risk for beta-sorted portfolios using instrumental variables methods and find that the conditional CAPM …

Persistent link: https://www.econbiz.de/10013035688

A Unified Theory of the Term Structure and the Beta Anomaly

Zhu, Yicheng - 2019

Rational expectation models generally suggest that assets with more exposure to systematic risks should carry higher risk premia. However, several empirical findings challenge this result. I propose a novel generalized recursive smooth aversion model that allows agents to show different levels...

Persistent link: https://www.econbiz.de/10012859084

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

Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

Persistent link: https://www.econbiz.de/10010253467

Determinant of Stock Systematic Risks

Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Persistent link: https://www.econbiz.de/10012942864

The stable long-run CAPM and the cross-section of expected returns

Kurz-Kim, Jeong-Ryeol; Kurz-Kim, Jeong-Ryeol - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10001650360

The Term Structure of CAPM Alphas and Betas

Chang, Wayne - 2016

novel conditional moment estimation method that is simple, non-parametric, and modifies the realized volatility approach to … work for long-horizon returns. Long-short portfolios sorted on size, value, and momentum have CAPM betas that can reverse …

Persistent link: https://www.econbiz.de/10013004579