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Long- and short-run...
Long- and short-run components of factor betas : Implications for stock pricing
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- Asgharian, Hossein (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM
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- Christiansen, Charlotte (författare)
- Lund University,Lunds universitet,Nationalekonomiska institutionen,Ekonomihögskolan,Department of Economics,Lund University School of Economics and Management, LUSEM,Aarhus University
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- Hou, Ai Jun (författare)
- Stockholm University,Stockholms universitet,Företagsekonomiska institutionen
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- Wang, Weining (författare)
- University of York
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(creator_code:org_t)
- Elsevier BV, 2021
- 2021
- Engelska.
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Ingår i: Journal of international financial markets, institutions, and money. - : Elsevier BV. - 1042-4431 .- 1873-0612. ; 74
- Relaterad länk:
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https://doi.org/10.1...
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https://su.diva-port... (primary) (Raw object)
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https://doi.org/10.1...
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http://dx.doi.org/10... (free)
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https://urn.kb.se/re...
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https://doi.org/10.1...
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https://lup.lub.lu.s...
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Abstract
Ämnesord
Stäng
- We propose a new model that estimates the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and estimates these moments simultaneously. We apply this model to obtain long- and short-run factor betas for industry test portfolios. We find that the risk premium related to the short-run market beta is significantly positive, irrespective of the choice of test portfolio. Further, the risk premia for the short-run betas of all the risk factors are significant outside recessions.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Long-run betas
- Short-run betas
- Risk premia
- Component GARCH model
- MIDAS
- Component GARCH model
- Long-run betas
- MIDAS
- Risk premia
- Short-run betas
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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