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

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  • Franzoni, Francesco

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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.

Suggested Citation

  • Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  • Handle: RePEc:ebg:heccah:0829
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    File URL: http://www.hec.fr/var/fre/storage/original/application/b4526f9b96ee7c827893247d6fb37246.pdf
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    References listed on IDEAS

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    Cited by:

    1. Peng Huang & C. James Hueng, 2009. "Interest-rate risk factor and stock returns: a time-varying factor-loadings model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(22), pages 1813-1824.
    2. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    3. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.

    More about this item

    Keywords

    value; stocks; beta; risk; financial market;

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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