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Essays on asset pricing

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  • Londono Yarce, J.M.

    (Tilburg University)

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    Abstract

    Finally, the third paper models and explains the dynamics of market betas for 30 US industry portfolios between 1970 and 2009. We use a DCC-MIDAS and kernel regression technique as alternatives to the standard ex-post measures. In this paper, we find betas to exhibit substantial persistence, time variation, ranking variability, and heterogeneity in their business cycle exposure. While we find only a limited amount of structural breaks in the betas of individual industries, we do identify a common structural break in March 1998. Finally, we find the cross-sectional dispersion in industry betas to be countercyclical and negatively related to future market returns.

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    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-5146522.

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    Length: 141
    Date of creation: 2011
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    Publication status: Published
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-5146522

    Note: Dissertation
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    Web page: http://www.tilburguniversity.edu/

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