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Where is beta going ? the riskiness of value and small stocks

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Author Info
Franzoni, Francesco ()
Abstract

This paper finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky.

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File URL: http://www.hec.fr/hec/fr/professeurs_recherche/upload/cahiers/CR829Franzoni.pdf
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Publisher Info
Paper provided by Groupe HEC in its series Les Cahiers de Recherche with number 829.

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Length: 60 pages
Date of creation: 09 Jan 2006
Date of revision:
Handle: RePEc:ebg:heccah:0829

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Postal: HEC Business School, 78351 Jouy-en-Josas cedex, France
Web page: http://www.hec.fr/hec/eng/index.html
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Related research
Keywords: value stocks beta risk financial market

Find related papers by JEL classification:
D40 - Microeconomics - - Market Structure and Pricing - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

This paper has been announced in the following NEP Reports:

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