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Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Persistent link: https://www.econbiz.de/10010442899

Low-beta investment strategies

Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

Persistent link: https://www.econbiz.de/10011553310

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … time-frequency CAPM to perform systematic risk analysis and portfolio allocation. … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and …

Persistent link: https://www.econbiz.de/10014289044

Determinant of Stock Systematic Risks

Pasaribu, Rowland Bismark - 2017

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

Persistent link: https://www.econbiz.de/10012942864

Why are high exposures to factor betas unlikely to deliver anticipated returns?

Brightman, Chris; Henslee, Forrest; Kalesnik, Vitali; … - 2021

By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics have earned high returns, whereas...

Persistent link: https://www.econbiz.de/10012585863

Inflation and infrastructure sector returns in emerging markets : panel ARDL approach

Magweva, Rabson; Sibanda, Mabutho - In: Cogent economics & finance 8 (2020) 1, pp. 1-17

beta risk in emerging stock markets. The results imply that investors interested in hedging inflation in emerging markets … should go beyond individual asset classes and embrace the portfolio optimization concept to reduce inflation risk. Given the …

Persistent link: https://www.econbiz.de/10012219374

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

Persistent link: https://www.econbiz.de/10011506397

Analysing assets' performance inside a portfolio : from crossed beta to the net risk premium ratio

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-23

portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

Persistent link: https://www.econbiz.de/10011877322

Dynamic Beta : Getting Paid to Manage Risks

Barrett, Timothy - 2015

mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the … fund — where risk includes volatility of returns plus drawdown — while earning a positive return. A dynamic beta program … implemented through an overlay and customized to each investor's needs can help manage portfolio risk from an asset …

Persistent link: https://www.econbiz.de/10013037195