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We complement the conditional capital asset pricing model (CAPM) by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally “learn” the long-run level of factor loading by observing realized returns. As a direct consequence of this...
Persistent link: https://www.econbiz.de/10005726581
We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally `learn' the long-level of factor loadings from the observation of realized returns. As a direct consequence of this assumption, conditional betas are...
Persistent link: https://www.econbiz.de/10005222550
"When risk-factor loadings are time-varying and unobservable, investors are forced to form beliefs about the levels of their loadings. The learning process involved in forming these beliefs has normative implications for asset-pricing tests. This paper develops an equilibrium model of learning...
Persistent link: https://www.econbiz.de/10002521758
We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally 'learn' the long-level of factor loadings from the observation of realized returns. As a direct consequence of this assumption, conditional betas are...
Persistent link: https://www.econbiz.de/10003966158
We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this environment, investors rationally 'learn' the long-level of factor loadings from the observation of realized returns. As a direct consequence of this assumption, conditional betas are...
Persistent link: https://www.econbiz.de/10012727995
Persistent link: https://www.econbiz.de/10015117945
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 strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...
Persistent link: https://www.econbiz.de/10003966097
Mandatory contributions to defined benefit pension plans provide a unique identification strategy to estimate the market's assessment of the value of internal resources controlling for investment opportunities. The drop in prices following these cash outflows is magnified for firms that appear a...
Persistent link: https://www.econbiz.de/10003962040
The first essay finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky. The failure to account for...
Persistent link: https://www.econbiz.de/10009432433
We find evidence of significant price manipulation at the stock level by hedge funds on critical reporting dates. Stocks in the top quartile by hedge fund holdings exhibit abnormal returns of 30 basis points in the last day of the month and a reversal of 25 basis points in the following day....
Persistent link: https://www.econbiz.de/10009369346