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Market Beta (market + beta)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Using Expectations to Test Asset Pricing Models

FINANCIAL MANAGEMENT, Issue 3 2005
Alon Brav
Asset pricing models generate predictions relating assets' expected rates of return and their risk attributes. Most tests of these models have employed realized rates of return as a proxy for expected return. We use analysts' expected rates of return to examine the relation between these expectations and firm attributes. By assuming that analysts' expectations are unbiased estimates of market-wide expected rates of return, we can circumvent the use of realized rates of return and provide evidence on the predictions emanating from traditional asset pricing models. We find a positive, robust relation between expected return and market beta and a negative relation between expected return and firm size, consistent with the notion that these are risk factors. We do not find that high book-to-market firms are expected to earn higher returns than low book-to-market firms, inconsistent with the notion that book-to-market is a risk factor. [source]

A best choice among asset pricing models?

ACCOUNTING & FINANCE, Issue 2 2004
The Conditional Capital Asset Pricing Model in Australia
Abstract We use Australian data to test the Conditional Capital Asset Pricing Model (Jagannathan and Wang, 1996). Our results are generally supportive: the model performs well compared with a number of competing asset pricing models. In contrast to the study by Jagannathan and Wang, however, we find that the inclusion of the market for human capital does not save the concept of the time-independent market beta (it remains insignificant). We find support for the role of a small-minus-big factor in pricing the cross-section of returns and find grounds to disagree with Jagannathan and Wang's argument that this factor proxies for misspecified market risk. [source]

The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns

EUROPEAN FINANCIAL MANAGEMENT, Issue 4 2002
Dilip K. Patro
Using a GARCH approach, we estimate a time,varying two,factor international asset pricing model for the weekly equity index returns of 16 OECD countries. We find significant time,variation in the exposure (beta) of country equity index returns to the world market index and in the risk,adjusted excess returns (alpha). We then explain these world market betas and alphas using a number of country,specific macroeconomic and financial variables with a panel approach. We find that several variables including imports, exports, inflation, market capitalisation, dividend yields and price,to,book ratios significantly affect a country's exposure to world market risk. Similar conclusions are obtained by using lagged explanatory variables, and thus these variables may be useful as predictors of world market risks. Several variables also significantly impact the risk,adjusted excess returns over this time period. Our results are robust to a number of alternative specifications. We further discuss some economic hypotheses that may explain these relationships. [source]

Payment For Risk: Constant Beta Vs.

FINANCIAL REVIEW, Issue 2 2002
Dual-Beta Models
Fama and French's (1992) assertion that investors receive premium payments for risk associated with the book value to market price (BE/ME) and size and not for holding beta risk has sparked a lively debate concerning risk factors that are priced in the market. Howton and Peterson (1998) use a dual-beta model to test the Fama and French conclusions. They conclude that the significant relationship between beta and returns depends on the use of the dual-beta model. This work, however, ignores the results reported by Pettengill, Sundaram, and Mathur (PSM, 1995). PSM find a significant relation between a constant risk beta and returns when data are segmented between up and down markets, but do not consider the impact of size and BE/ME. In this paper we show that the PSM (1995) market segmentation procedure alone provides a sufficient condition to identify a significant relation between beta and returns in the presence of size and BE/ME. Dual market betas may be relevant in explaining risk and return. However, the market segmentation procedure of PSM (1995) is the critical condition for finding a significant relationship between returns and betas. [source]