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Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

Relevance of Alpha and Active Beta Bets in Manager Selection

Sharma, Rohit - 2015

Active management techniques are constantly evolving in an asset management world but without a clear up trend in the performance of active managers. As such, there has been an intense debate concerning the underperformance of active managers and the reasons leading to alpha and beta separation....

Persistent link: https://www.econbiz.de/10013036801

The Going Public Decision and the Structure of Equity Markets

Astudillo, Alfonso A. - 2014

higher betas than the average firm already in the market. These patterns are consistent with rational IPO decisions in a CAPM …

Persistent link: https://www.econbiz.de/10013070176

The Beta Heuristic from a Time/Frequency Perspective : A Wavelet Analysis of the Market Risk of the 10 S&P Sectors

Mcnevin, Bruce - 2016

We investigate the time-scale relationships between the ten S&P sectors and the market through the use of wavelet analysis, a methodology that has widespread acceptance for investigating multi-horizon properties of time series. Our analysis of the data highlights that variation in the pattern of...

Persistent link: https://www.econbiz.de/10012985074

The Changing Beta of Value and Momentum Stocks

Au, Andrea S. - 2010

Recently, alpha and risk factor volatility have reached extremes. In this study we examine the risk and return relationships of value and momentum, which we believe have shifted. We find that market risk, or beta, correlations for both factors have reversed and have resulted to changes and...

Persistent link: https://www.econbiz.de/10013150898

An analysis of the relation between return and beta for portfolios of Turkish equities

Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8

the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …

Persistent link: https://www.econbiz.de/10011450716

News Beta : Factoring Sentiment Risk into Quant Models

Hafez, Peter - 2017

The stock market is affected by sentiment. The question is, however, how to quantify this effect on asset prices. By utilizing the unique RavenPack Sentiment Index, a news-based proxy for market sentiment, this paper intends to address this issue empirically by exploring the pricing implications...

Persistent link: https://www.econbiz.de/10012975219

The Low Beta Anomaly : A Corporate Bond Investor's Perspective

Bektic, Demir - 2018

The low beta anomaly is well documented for equity markets. However, the existence of such a factor in corporate bond markets is less explored. I find that European corporate bonds of firms with a low equity beta have higher risk-adjusted returns, on average, than European corporate bonds of...

Persistent link: https://www.econbiz.de/10012934109

Short-Horizon Beta or Long-Horizon Alpha?

Kamara, Avraham - 2018

The authors study whether the pricing of systematic factors depends on the investment horizon over which risk is measured. Market beta and Fama--French value beta are priced when risk is measured over intermediate horizons, while liquidity beta is priced over short horizons. Alpha on a...

Persistent link: https://www.econbiz.de/10012935000

Behavioral heterogeneity in the CAPM with evolutionary dynamics

Hens, Thorsten; Naebi, Fatemeh - 2022

The paper shows how the standard two-period CAPM with exogenous wealth and exogenous returns can be extended inter … missing link between the two models is given by the CAPM with heterogeneous behavior derived by Hens and Naebi (2020). This … paper delivers theoretical and empirical results for behavioral heterogeneity in the CAPM with evolutionary dynamics. As a …

Persistent link: https://www.econbiz.de/10012800950