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Black Swans, Beta, Risk, and Return
Estrada, Javier - 2015
Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not … measure of risk? And, 2) is beta a valuable tool for portfolio selection? Our evidence, spanning over 47 countries, 57 …
Persistent link: https://www.econbiz.de/10013012162
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Black Swans, Beta, Risk, and Return
Estrada, Javier - 2013
Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not … measure of risk? And, 2) is beta a valuable tool for portfolio selection? Our evidence, spanning over 47 countries, 57 …
Persistent link: https://www.econbiz.de/10013079081
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Black Swans, Beta, Risk, and Return
Estrada, Javier - 2012
Beta has been a controversial measure of risk ever since it was proposed almost half a century ago, and we do not … measure of risk? And, 2) is beta a valuable tool for portfolio selection? Our evidence, spanning over 47 countries, 57 …
Persistent link: https://www.econbiz.de/10013101032
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Pricing climate change risks : CAPM with rare disasters and stochastic probabilities
Karydas, Christos; Xepapadeas, Anastasios - 2019
that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …
Persistent link: https://www.econbiz.de/10011962146
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Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio
Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23
portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …
Persistent link: https://www.econbiz.de/10011877322
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A Lottery Demand-Based Explanation of the Beta Anomaly
Bali, Turan G. - 2016
The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...
Persistent link: https://www.econbiz.de/10013006629
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Beta dispersion and market timing
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
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Why are high exposures to factor betas unlikely to deliver anticipated returns?
Brightman, Chris; Henslee, Forrest; Kalesnik, Vitali; … - 2021
By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...
Persistent link: https://www.econbiz.de/10012585863
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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 …
Persistent link: https://www.econbiz.de/10012592728
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Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122