The Changing Nature of Market Risk

In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas? The paper argues that the negative link between beta and BM isdue to growth options. The shift of listed firms towards more growth-oriented businesses hasprogressively changed the nature of market risk.[...]

MoreLess

Year of publication:	2008-11-13
Authors:	Franzoni, Francesco Antonio
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Capital-Asset-Pricing-Modell \| Option \| Volatilität

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

I. Long-Run Behavior Of The HML Beta
II. The Link Between Beta And Book-To-Market
A. The Ranking of Betas for BM portfolios
B. Economic Determinants of the Beta-BM Relation
C. First Empirical Evidence on the Omitted Variable Bias
III. Beta, Book-To-Market, and Growth Options
A. Direct Growth Option Proxies
B. Idiosyncratic Volatility and Growth Options
C. Financial Constraints and Growth Options
IV. The Evolution In The Beta-BM Link
A. New Listing Effect and Growth Options
B. Industry and Exchange Effects
V. Discussion
VI. Conclusions
Appendix<br<References

Persistent link: https://www.econbiz.de/10005868660