Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/108622 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Working Paper No. 1305
Verlag: 
Koç University-TÜSİAD Economic Research Forum (ERF), Istanbul
Zusammenfassung: 
This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and firm-level cross-sectional regressions indicate a positive and significant relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks in the highest conditional beta decile and shorts stocks in the lowest conditional beta decile produces average returns and alphas of 8% per annum. These results are robust to controls for size, book-tomarket, momentum, short-term reversal, liquidity, co-skewness, idiosyncratic volatility, and preference for lottery-like assets.
Schlagwörter: 
dynamic conditional beta
conditional CAPM
ICAPM
and expected stock returns
JEL: 
G10
G11
C13
Dokumentart: 
Working Paper

Datei(en):
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