The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data

▶ A state-space model used to recover the sensitivities of betas to output growth. ▶ Different sensitivities of big value betas to real-time and revised output growth. ▶ Countercyclical (procyclical) dynamics of big value (big growth) betas. ▶ Real-time output growth more important for big value betas after Great Moderation. ▶ Real-time output growth less important for big growth betas after Great Moderation.