A security’s β should only be used when its high R-squared value is higher than the benchmark. The R-squared value measures the percentage of variation in the share price of a security that can be explained by movements in the benchmark index. For example, a gold ETF will show a lo...
Economics, Finance, & Analytics + More What is an Unlevered Beta? An unlevered beta is a risk measurement technique that measures the market risk of a company without considering debts. It is also known as asset beta. An unlevered beta seeks to find the beta of a company excluding the im...
The first set of pricing tests I conduct are at the portfolio level. Using each of the 11 earnings series, I estimate earnings betas for 50 portfolios formed on the basis of five characteristics commonly used in prior asset pricing literature: 10 each on size, book-to-price, earnings-to-pr...
Josef-Stefan Wenzler, in Factor Investing, 2017 Abstract: Over the past 40 years finance theories have evolved from simple single-factor models to more complex multifactor models. Initially, the Capital Asset Pricing Model (CAPM) postulated that equity markets can be described by a single factor ...
:Investigates the performance of three different approaches to modelling time-variation in conditional asset betas. Efficiency of the simple market model b... Faff,W Robert,Hillier,... - 《Journal of Business Finance & Accounting》 被引量: 158发表: 2000年 Macroeconomic consequences of pension refo...
R Jagannathan,Z Wang - 《Journal of Finance》 被引量: 4763发表: 1996年 A Quantile Regression Analysis of the Cross Section of Stock Market Returns Traditional methods of testing the Capital Asset Pricing Model (CAPM) do so at the mean of the conditional distribution. Instead, we test whether...
We find supporting evidence for a mispricing explanation of the beta uncertainty premium.doi:10.1016/j.jbankfin.2020.105834Fabian HollsteinMarcel ProkopczukChardin Wese SimenElsevierJournal of Banking & Finance
There are several methods of calculation, which differ somewhat in their specifics. Potential methods are discussed in a number of books in our collection, including An Introduction to Stock Exchange Investment by Janette Rutterford (3rd ed., pp.242-246) and Corporate Finance: Principles and ...
2022, Critical Finance Review View all citing articles on Scopus☆ Novy-Marx provides consulting services to Dimensional Fund Advisors, an investment firm headquartered in Austin, Texas with strong ties to the academic community. The thoughts and opinions expressed in this article are those of the ...
p>This study employs an innovative market-based approach, where return on equity (ROE) is employed as a proxy for cash-flow news and a state-space model is... K Wang,J Li,S Huang - 《Accounting & Finance》 被引量: 26发表: 2014年 加载更多来源...