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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

Calculating a Portfolio's Beta

Levendis, John - 2017

We present an active-learning computer exercise where students pick stocks for a portfolio. Using their selection of stocks, two different portfolios are created: 1) a portfolio that never rebalances and 2) a portfolio that continuously rebalances. They then calculate the rates of return and...

Persistent link: https://www.econbiz.de/10012946949

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

Betas, Benchmarks and Beating the Market

Kakushadze, Zura - 2019

We give an explicit formulaic algorithm and source code for building long-only benchmark portfolios and then using these benchmarks in long-only market outperformance strategies. The benchmarks (or the corresponding betas) do not involve any principal components, nor do they require iterations....

Persistent link: https://www.econbiz.de/10012899182

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...

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

Low-beta investment strategies

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

This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...

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

Investment Horizon Dependent CAPM : Adjusting Beta for Long-Term Dependence

León, Carlos - 2012

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … the CAPM's bias resulting from this abiding – but flawed – assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

Persistent link: https://www.econbiz.de/10013097627

Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

Umlauft, Roland - 2013

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is concentrated on the subset of liquid assets. In the presence...

Persistent link: https://www.econbiz.de/10013090386

Can We Beat the Market with Beta? An Intuitive Test of the CAPM

Gómez-Bezares, Fernando - 2013

Based on a strict and intuitive methodology, the article proposes an empirical test of the CAPM for the main Spanish … market stocks. The idea is to replicate the behaviour of an investor purchasing undervalued shares according to the CAPM in … consistent with market efficiency and with the CAPM, as the stocks would quickly adapt to their rational value, according to the …

Persistent link: https://www.econbiz.de/10013092098

Factor Investing with Smart Beta Indices

Blitz, David - 2016

The added value of smart beta indices is known to be explained by exposures to established factor premiums, but does that make these indices suitable for implementing a factor investing strategy? This paper finds that the amount of factor exposure provided by popular smart beta strategies...

Persistent link: https://www.econbiz.de/10012993378