Essays on asset pricing
AbstractFinally, 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 InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-5146522.
Date of creation: 2011
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Publication status: Published
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- NEP-ALL-2011-12-19 (All new papers)
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