Search Results - subject_exact:"Beta risk"

Meyerheim, Gerrit - 2026 - Original Version: October 2025, This Version: March 2026

This paper develops a tractable consumption-based asset-pricing model in an i.i.d. economy that combines rare consumption disasters with ambiguity aversion implemented as a one-period entropic tilt under CRRA utility. Closed-form expressions for the risk-free rate, equity return moments, and the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614347

Inflation-driven instability in US sectoral betas

Valadkhani, Abbas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015485833

Forecasting beta using ultra high frequency data

Zhou, Jian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374057

When to bet against beta? : ask Google

Piccoli, Pedro - 2025

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337410

Tradable risk factors for institutional and retail investors

Johansson, Andreas; Sabbatucci, Riccardo; Tamoni, Andrea - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357636

Tobin's Q and shareholder value : does "shareholder return" impede investment?

Piluso, Nicolas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015358755

Advanced outlier detection methods for enhancing beta regression robustness

Oktsa Dwika Rahmashari; Wuttichai Srisodaphol - 2025

Beta regression is a valuable statistical technique for modeling response variables within the standard unit interval (0, 1), where values represent rates, proportions, or probabilities. However, outliers in beta regression can severely impact parameter estimates and model performance, leading...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420208

How smart is the real estate smart beta? : evidence from optimal style factor strategies for REITs

Andronoudis, Dimos; Guidolin, Massimo; Pedio, Manuela - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015466965

Low beta anomaly in some European emerging markets

Mogilski, Mateusz; Winkler-Drews, Tadeusz - 2025

The aim of the study was to identify the low beta anomaly and analyse the causes of its occurrence in five European emerging markets that were components of the MSCI Emerging Markets Europe index in the period 2010-2019. It was hypothesized that the determinants of the low beta anomaly in the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447056

Estimating stock market betas via machine learning

Drobetz, Wolfgang; Hollstein, Fabian; Otto, Tizian; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451306

The risk of clustering of deprivations in Spain : a tale of two crises

García-Gómez, César; Pérez, Ana - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015411670

Bear factor and hedge fund performance

Ho, Thang; Kagkadis, Anastasios; Wang, Jiaguo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432820

Crypto market betas: the limits of predictability and hedging

Sila, Jan; Mark, Michael; Krištoufek, Ladislav; Weber, … - 2025

This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary least squares (OLS) and Vasicek's Bayesian...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557840

A qualitative parameter for beta changes

Messis, Petros; Alexandridis, Antonios K.; Zapranis, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015482626

From Factor Investing to Smart Beta : a systematic literature review

Giampaoli, Noemi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015575534

Zero-beta risks and required returns : ESG and CAPM

Johnstone, David; Grant, Andrew - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015395995

Betting against (Bad) beta

Herculano, Miguel C. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534167

Opacity and frequency dependence of beta

Ejaz, Sana; Volkov, Vladimir - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062536

Asset pricing and the carbon beta of externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015069859

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Asset pricing and the carbon beta of externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021

Book / Working Paper

Asset Pricing and the Carbon Beta of Externalities

Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021

Book / Working Paper

Green-adjusted share prices : a comparison between standard investors and investors with green preferences

Quaye, Enoch Nii Boi; Tunaru, Diana; Tunaru, Radu - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015083513

The dark side of "flight-to-safety" : evidence from macroeconomic tail risk beta

Yao, Shouyu; Wang, Chunfeng; Fang, Zhenming - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077688

Cryptocurrency systematic risk dynamics

Bao Doan; Jayasuriya, Dulani; Lee, John B.; Reeves, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015077948

Conditional CAPM relationships in standard and accounting risk approaches

Rutkowska-Ziarko, Anna; Markowski, Lesław; Abdou, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014534805

Enhancing betting against beta with stochastic dominance

Kolokolova, Olga; Xu, Xia - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014491900

Beta-sorted portfolios

Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024

Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015123509

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Beta-sorted portfolios

Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023

Book / Working Paper

Beta-sorted portfolios

Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023

Book / Working Paper

Cross-sectionnal patterns in Moroccan sock returns : a Fama-French perspective

Benfeddoul, Safae; Taib, Asmâa Alaoui - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015095013

Stock price delay and the cross-section of expected returns : a story of night and day

Yang, Ge; Yin, Ximing - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271597

The welfare cost of ignoring the beta

Gollier, Christian - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015045082

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The welfare cost of ignoring the beta

Gollier, Christian - 2021

Book / Working Paper

The welfare cost of ignoring the beta

Gollier, Christian - 2021

Book / Working Paper

The Welfare Cost of Ignoring the Beta

Gollier, Christian - 2021

Book / Working Paper

Market power and systematic risk

Hollstein, Fabian; Prokopczuk, Marcel; Würsig, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014543720

Exploring the risk dynamics of US green energy stocks : a green time-varying beta approach

Sen, Chitrakalpa; Chakrabarti, Gagari - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015533111

Financial ratio analysis of top 10 manufacturing companies of India

Khanm, Amreen; Bhanawat, Shurveer S. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015176773

Intertemporal hedging and the carbon beta premium : insights from Chinese corporate bonds

Wan, Wei; Lee, Chien-Chiang; Liu, Hao - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620667

Deleveraging CAPM : asset betas vs. equity betas

Barone, Emilio; Barone, Gaia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638216

Climate news betas and risk premia

Lalwani, Vaibhav - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644730

Beta for Alpha : Neural Engagement in Financial Trading

Chen, Liang - 2026

The emergence of wearable electroencephalography (EEG) technologies presents new opportunities to identify and quantify neural correlates of decision-making in real-time, financially consequential settings. We report a field study in which we use wearable EEG devices to record brainwave activity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015671185

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

Magweva, Rabson; Sibanda, Mabutho - 2020

This study evaluated the relationship between inflation and infrastructure sector stock returns in emerging markets in the long and short run. It employed a panel autoregressive distributed lag (PARDL) model applying the mean group (MG), pooled mean group (PMG) and dynamic fixed effects (DFE)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012219374

Bear beta or speculative beta? : reconciling the evidence on downside risk premium

Wang, Tong - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013543164

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Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium

Wang, Tong - 2022

Book / Working Paper

Beta Herding Towards Six Factors : Evidence from the European Region

Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - 2023

We apply two state-space models based on the cross-sectional dispersion of the factor sensitivities of securities for extracting the time series of herding towards the market, size/growth (SMB), value (HML), operating profitability (RMW), investment (CMA) and momentum (WML) factors. The sample...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257502

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Beta Herding Towards Six Factors Evidence from the European Region

Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - 2022

Book / Working Paper

Why are REIT Risk Premiums Currently so High? A Beta Decomposition Perspective

Hung, Mao-Wei; Wang, Ken P. Y.; Yen, Ju-Fang - 2023

The risk premiums on real estate investment trusts (REITs) have exceeded and remained higher than those of stocks since the financial crisis of 2007--2008. In this paper, we investigate the reason why. Using the Campbell-Shiller beta decomposition, we find that REIT returns are more sensitive to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257982

Expanding the Fama-French factor model with the industry beta

Schmidt, Anatoly B. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652356

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Expanding the Fama-French Factor Model with the Industry Beta

Schmidt, Anatoly B. - 2023

Book / Working Paper

Performance of ESG-integrated smart beta strategies in Asia-Pacific stock markets

Tan, Yeng-May; Szulczyk, Kenneth; Sii, Yew-Hei - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014458440

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Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets

Tan, Yeng-May; Szulczyk, Kenneth; Sii, Yew-Hei - 2023

Book / Working Paper

Performance of ESG-Integrated Smart Beta Strategies in Asia-Pacific Stock Markets

Tan, Yeng-May; Szulczyk, Kenneth; Sii, Yew-Hei - 2023

Book / Working Paper

Optimal inference for spot regressions

Bollerslev, Tim; Li, Jia; Ren, Yuexuan - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014484107

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Optimal Inference for Spot Regressions

Bollerslev, Tim; Li, Jia; Ren, Yuexuan - 2023

Book / Working Paper

Change Point Detection in Beta Process with High Frequency Data

Chen, Dachuan; Feng, Long - 2023

High frequency regression has received more and more attention recent years. This is the first paper about detecting the change points in the beta process of high frequency regression. As an intermediate modelling approach between the constant beta and continuous beta process, this paper employs...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014355756

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 - 2023

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, ebvufind01.dmz1.zbw.eu/10014515083

Sources of wheat production technical inefficiency among smallholder farmers in Northwestern Ethiopia : beta regression approach

Endalew, Birara; Aynalem, Mezgebu; Anteneh, Adugnaw; … - 2023

Wheat production is dominated by a subsistence smallholder production system. Additionally, more than 4.7 million smallholder farmers are engaged in wheat production. However, poverty is chronic and pervasive among smallholder farmers. Hence, targeting the efficiency of wheat production is the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500805

Risk translation : how cryptocurrency impacts company risk, beta and returns

Field, Jack; Inci, Ahmet Can - 2023

Purpose - As cryptocurrencies continue to gain viability as an asset class, institutional investors and publicly traded firms have started taking investment positions in digital currencies. What firms may not be considering, however, is the effect these assets may have on their risk profiles....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014318194

Investor sentiment, cross-sectional stock returns, and short-sales : evidence from Korea

Lee, Hyo-jeong - 2023

Purpose: This study investigates the return co-movements associated with investor sentiment shifts in the cross-sections under a setting where market-wide sentiment interacts with short-sale impediments. Design/methodology/approach: This study estimates the return sensitivity to market sentiment...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014304634

International issuance of Sukuk and companies' systematic risk : an empirical study

Mseddi, Slim - 2023

The study provides international empirical evidence that sukuk securitization positively impacts the systematic risk increase for originator companies. Using a market-based analysis of 68 sukuk issuances during 2004-2020, the study starts by dividing the full sample of sukuk by the announcement...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014308768

Beta estimation in the European network regulation context : what matters, what doesn't, and what is indispensable

Bazhutov, Dmitry; Betzer, André; Stehle, Richard - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014334132

A lattice approach to the Beta distribution induced by stochastic dominance : theory and applications

Braouezec, Yann; Cagnol, John - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014335393