Changes in Factor Betas and Risk Premiums over Varying Market Conditions.

We show risk exposures and premiums associated with the Chen, Roll, and Ross (1986) risk factors change over time and depend on stock market and business cycle condition. Findings also indicate that factor risk premiums change sign between January and non-January, especially during bull markets. These findings serve as a caveat for portfolio managers who allocate assets to match desired exposures to key macroeconomic risk factors. Copyright 1998 by MIT Press.

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Year of publication:	1998
Authors:	Ahmed, Parvez ; Lockwood, Larry J
Published in:	The Financial Review. - Eastern Finance Association - EFA. - Vol. 33.1998, 3, p. 149-68
Publisher:	Eastern Finance Association - EFA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005667554