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Bad beta, good beta

Campbell, John Y. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001826777

Bad beta, good beta

Campbell, John Y.; Vuolteenaho, Tuomo - 2003

Persistent link: https://www.econbiz.de/10001738791

Bad beta, good beta

Campbell, John Y.; Vuolteenaho, Tuomo - In: The American economic review 94 (2004) 5, pp. 1249-1275

Persistent link: https://www.econbiz.de/10002683183

Bad beta, good beta

Campbell, John Y. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001878101

Bad Beta, Good Beta

Campbell, John Y. - 2010

This paper explains the size and value anomalies' in stock returns using an economically motivated two-beta model. We break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future cash flows and one reflecting news about the market's...

Persistent link: https://www.econbiz.de/10012762857