Measuring the stock's factor beta and identifying risk factors under market inefficiency

被引：1
作者：
Semenov, Andrei [1 ]
机构：
[1] York Univ, Dept Econ, 4700 Keele St,Vari Hall 1028, Toronto, ON M3J1P3, Canada
来源：
QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2021年 / 80卷
关键词：
Equity risk premium; Factor beta; Multi-Factor asset pricing model; Systematic risk; PRICING-MODELS; CROSS-SECTION; LONG-RUN; RETURNS; CONSUMPTION; TESTS; PRICES; AGGREGATION; EQUILIBRIUM; HORIZON;
D O I：
10.1016/j.qref.2021.03.014
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We provide a closed-form measure of the stock's factor-specific beta coefficient that allows for a delay in the reaction of stock prices to systematic information. This measure explicitly relates the stock's factor beta to the investment horizon and enables investors to determine the return measurement interval that is required for the stock's factor beta to fully reflect the stock's factor risk. Exploiting daily data on individual NYSE, Nasdaq, and AMEX-listed common stocks, we use this measure to estimate and investigate the properties of the stock's beta with respect to the market. (c) 2021 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
引用
收藏
页码：635 / 649
页数：15
相关论文
共 81 条
[1]   Asset pricing with liquidity risk [J].
Acharya, VV ;
Pedersen, LH .
JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) :375-410
[2]   Luxury goods and the equity premium [J].
Aït-Sahalia, Y ;
Parker, JA ;
Yogo, M .
JOURNAL OF FINANCE, 2004, 59 (06) :2959-3004
[3]   The equity share in new issues and aggregate stock returns [J].
Baker, M ;
Wurgler, J .
JOURNAL OF FINANCE, 2000, 55 (05) :2219-2257
[4]   Mimicking portfolios, economic risk premia, and tests of multi-beta models [J].
Balduzzi, Pierluigi ;
Robotti, Cesare .
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2008, 26 (03) :354-368
[5]   Consumption, dividends, and the cross section of equity returns [J].
Bansal, R ;
Dittmar, RF ;
Lundblad, CT .
JOURNAL OF FINANCE, 2005, 60 (04) :1639-1672
[6]   THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J].
BANZ, RW .
JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :3-18
[7]   Portfolio allocation and the investment horizon - Lengthening the investment horizon might modify the portfolio risk for investors. [J].
Bierman, H .
JOURNAL OF PORTFOLIO MANAGEMENT, 1997, 23 (04) :51-&
[8]  
Black F., 1972, STUDIES THEORY CAPIT
[9]   BIASES IN COMPUTED RETURNS - AN APPLICATION TO THE SIZE EFFECT [J].
BLUME, ME ;
STAMBAUGH, RF .
JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (03) :387-404
[10]  
Bodie Z., 1995, FINANC ANAL J, V51, P18
123456789