Evolution of Uncertainty: Changing Estimates of Market Beta

2007 ◽  
Author(s):  
Leonce Bargeron ◽  
Eitan Goldman ◽  
Ron Kaniel ◽  
Laura T. Starks
Keyword(s):  
Market Beta

scholarly journals Risk and Return: Consumption Beta Versus Market Beta

1986 ◽  
Vol 68 (3) ◽  
pp. 452 ◽  
Author(s):  
N. Gregory Mankiw ◽  
Matthew D. Shapiro
Keyword(s):  
Risk And Return ◽  
Market Beta

scholarly journals Optimisation of Time-Varying Asset Pricing Models with Penetration of Value at Risk and Expected Shortfall

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 394
Author(s):  
Adeel Nasir ◽  
Kanwal Iqbal Khan ◽  
Mário Nuno Mata ◽  
Pedro Neves Mata ◽  
Jéssica Nunes Martins
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Stock Returns ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Time Varying ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Asset Pricing Models ◽  
Market Beta

This study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.

Cross-listing of real estate investment trusts (REITs)

2017 ◽  
Vol 35 (5) ◽  
pp. 509-527
Author(s):  
Kim Hin David Ho ◽  
Kwame Addae-Dapaah ◽  
Fang Rui Lina Peck
Keyword(s):  
Real Estate ◽  
Foreign Market ◽  
Real Estate Investment Trusts ◽  
Domestic Market ◽  
Risk Exposure ◽  
Real Estate Investment ◽  
Content Type ◽  
Cross Listing ◽  
Market Beta ◽  
The Cross

Purpose The purpose of this paper is to examine the common stock price reaction and the changes to the risk exposure of the cross-listing for real estate investment trusts (REITs). Design/methodology/approach The paper adopts the event study methodology to assess the abnormal returns (ARs). Pre- and post-cross-listing changes in the risk exposure for the domestic and foreign markets are examined, via a modified two-factor international asset pricing model. A comparison is made for two broad cross-listings, namely, the depositary receipts and the dual ordinary listings, to examine the impacts from institutional differences. Findings Cross-listed REITs generally experience positive and significant ARs throughout the event window, implying significant superior returns associated with the cross-listing for REITs. On systematic risks, REITs exhibit significant decline in their domestic market β coefficients after the cross-listing. However, the foreign market β coefficients do not yield conclusive evidence when compared across the sample. Research limitations/implications Results are consistent with prudential asset allocation for potential diversification gains from the cross-listing, as the reduction from the domestic market beta is more significant than changes in the foreign market beta. Practical implications The results and findings should incentivise REIT managers to explore viable cross-listing. Social implications Such cross-listing for REITs should enhance risk diversification. Originality/value This is a pioneer study on cross-listing of REITs. It provides a basis for investment decision making, and could provoke further research and discussion.

Which is the Right 'Market Beta'? 1,385 US Companies and 147 Betas/Company in a Single Date

2014 ◽  
Author(s):  
Jose Paulo Carelli ◽  
Pablo Fernandez ◽  
Isabel Fernnndez Accn ◽  
Alberto Ortiz Pizarro
Keyword(s):  
Market Beta ◽  
The Right

scholarly journals Risk and Return: Consumption versus Market Beta

10.3386/w1399 ◽  
1984 ◽  
Author(s):  
N. Gregory Mankiw ◽  
Matthew Shapiro
Keyword(s):  
Risk And Return ◽  
Market Beta

The Systematic Risk at the Crisis—A Multifractal Non-Uniform Wavelet Systematic Risk Estimation

2021 ◽  
Vol 5 (4) ◽  
pp. 135
Author(s):  
Mounir Sarraj ◽  
Anouar Ben Mabrouk
Keyword(s):  
Missing Data ◽  
Wavelet Analysis ◽  
Present Method ◽  
Risk Estimation ◽  
Systematic Risk ◽  
Political Stability ◽  
Time Varying ◽  
Political Situation ◽  
Time Varying Parameters ◽  
Market Beta

In the last decade, many factors, such as socio-political and econo-environmental ones, have led to a perturbation in the timeline of the worldwide development, and especially in countries and regions having political changes. This led us to introduce a new idea of risk estimation taking into account the non-uniform changes in markets by introducing a non-uniform wavelet analysis. We aim to explain the econo-political situation of Arab spring countries and the effect of the revolutions on the market beta. The main novelty is first the construction of a dynamic backward-forward model for missing data, and next the application of random non-uniform wavelets. The proposed procedure will be acted empirically on a sample corresponding to TUNINDEX stock as a representative index of the Tunisian market actively traded over the period from 14 January 2016 to 13 January 2021. The chosen 5-year period is important as it constitutes the first five years after the revolution and depends strongly on the socio-econo-political stability in the revolutionary countries. The results showed the efficiency of non-uniform wavelets in explaining the dynamics of the market well. They therefore may be good tools to explore important phenomena in the market such as the non-stationary aspect of financial series, non-constancy, and time-varying parameters. These facts in turn will have positive implications for investors as well as politicians in front of the evolution of the market. Besides, recommendations to extend the present method for other types of wavelets and markets will be of interest.

The Existence of an Anomaly in the City Indices in Borsa Istanbul

2021 ◽  
Vol 8 (2) ◽  
pp. 12-27
Author(s):  
Hakan Altin
Keyword(s):  
Abnormal Return ◽  
Market Returns ◽  
The Third ◽  
Market Beta ◽  
Beta Coefficient ◽  
Relationship Of ◽  
The Relationship ◽  
The City

The aim of the study is to reveal the existence of an abnormal return in the city indices in Borsa Istanbul. Three important calculations were made for the detection of an abnormal return. The first was the calculation of adjusted returns. The second was the calculation of beta coefficients for city indices. The third was the determination of the relationship of each city index to the market. According to the findings obtained, there was an abnormal return in the city indices. In other words, each of the city indices made a profit on market returns. However, these returns were almost equal to market returns. When the beta coefficients were analyzed, it was seen that the coefficients were equal to the theoretically-expressed average market beta coefficient. Thus, the city indices and the market are moving in the same direction, and the results are statistically significant.

Implied Equity Premium and Market Beta

2021 ◽  
Author(s):  
Victor Chow ◽  
Jiahao Gu ◽  
Zhan Wang
Keyword(s):  
Equity Premium ◽  
Market Beta
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