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Beta Risk in the Cross-Section of Equities

Boloor, Ali - 2019

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify …

Persistent link: https://www.econbiz.de/10012899147

Beta risk in the cross-section of equities

Boloorforoosh, Ali; Christoffersen, Peter F.; Fournier, … - 2017

We develop a conditional capital asset pricing model in continuous-time that allows for stochastic beta exposure. When beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return on a stock deviates from the security market line. The...

Persistent link: https://www.econbiz.de/10011646407

Application of Chow, Cusum and rolling window in testing stability of systematic risk of companies listed in WIG-ESG in 2019-2022

Mikołajek-Gocejna, Magdalena - In: Journal of banking and financial economics 20 (2023), pp. 1-29

The aim of the article is to analyze the stability of beta coeffi cients of companies listed in WIG-ESG. There are many studies on the stability of companies' systematic risk, but the literature and research lack an analysis of the stability of the beta coeffi cient for ESG companies. We...

Persistent link: https://www.econbiz.de/10014515083

The Effect of Exchange Rate Risk on the Conditional Relationship between Beta Risk and Return in International Equity Markets

Sandoval, Eduardo - 2010

The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted...

Persistent link: https://www.econbiz.de/10013148458

Pricing Beta : Parameter Uncertainty and Factor Models

Graham, Nathaniel - 2012

CAPM and Fama-French four factor model, using t-scores of estimated betas as a proxy for estimation risk. I show that this … estimation risk, is itself a priced risk. I primarily consider parameter uncertainty in the context of factor models such as the … form of estimation risk is priced. I then construct a monthly risk factor from hedge portfolios and show that this factor …

Persistent link: https://www.econbiz.de/10013101993

A Volume-Weighted-Average-Price (VWAP) Method for Estimating Beta in the Context of Reference-Day Risk

Sahadev, Kesh - 2018

requirement for all applications of the capital asset pricing model (CAPM). This research documents evidence of reference-day risk …-reward tenet postulated by the CAPM. Using beta as a measure of systematic risk, this research finds that the CAPM appears to …

Persistent link: https://www.econbiz.de/10012927552

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

CAPM verification using overnight and daytime returns

Kang, Dae Jin; Kim, Soo-hyun - In: Journal of derivatives and quantitative studies : … 28 (2020) 4, pp. 209-227

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive...

Persistent link: https://www.econbiz.de/10012592728

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

Baryonic Beta Dynamics : An Econophysical Model of Systematic Risk

Chen, James Ming - 2018

This essay seeks to rehabilitate the capital asset pricing model by splitting beta, the basic unit of systematic risk, into subatomic (or “baryonic”) components. By analogy to quantum chromodynamics and other aspects of the Standard Model of particle physics, this essay bifurcates beta on...

Persistent link: https://www.econbiz.de/10012932305