کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7383364 1480433 2018 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating the beta-return relationship by considering the sign and the magnitude of daily returns
ترجمه فارسی عنوان
برآورد رابطه بتا بازگشت با در نظر گرفتن علامت و مقدار بازده روزانه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We test the beta-return relationship under the working assumption that beta is realized under constrained but innovative trading environments. Specifically, we estimate a residual beta risk as the difference between a probability-weighted realized beta and an ordinary least squares (OLS) beta, and test the beta-return relationship using daily returns on the U.S. stock market factor and 30 U.S. industries. Our estimates of the market risk premium using the cross-sectional regression (CSR) of Fama and MacBeth (1973) over a period spanning from 1926/07 to 2014/12 are in line with the central prediction of the capital asset pricing model (CAPM) that the realized return is linearly related to beta.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 67, February 2018, Pages 28-35
نویسندگان
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