Hossein Asgharian
Professor
Long- and short-run components of factor betas : Implications for stock pricing
Författare
Summary, in English
We propose a new model that estimates the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and estimates these moments simultaneously. We apply this model to obtain long- and short-run factor betas for industry test portfolios. We find that the risk premium related to the short-run market beta is significantly positive, irrespective of the choice of test portfolio. Further, the risk premia for the short-run betas of all the risk factors are significant outside recessions.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2021-09
Språk
Engelska
Publikation/Tidskrift/Serie
Journal of International Financial Markets, Institutions and Money
Volym
74
Dokumenttyp
Artikel i tidskrift
Förlag
North-Holland
Ämne
- Economics
Nyckelord
- Component GARCH model
- Long-run betas
- MIDAS
- Risk premia
- Short-run betas
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1042-4431