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On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?
Open accessAbstract
There is now considerable evidence suggesting that estimated betas of unconditional capital asset pricing models (CAPMs) exhibit statistically significant time variation. Therefore, many have advocated the use of conditional CAPMs. If we succeed in capturing the dynamics of beta risk, we are sure to outperform constant beta models. However, if the beta risk is inherently misspecified, there is a real possibility that we commit serious pricing errors, potentially larger than with a constant traditional beta model. In this paper we show that this is indeed the case, namely that pricing errors with constant traditional beta models are smaller than with conditional CAPMs.
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Citations
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Predictable Risk and Returns in Emerging Markets
Harvey, C. R. (1995) · Review of Financial Studies · doi:10.1093/rfs/8.3.773 · Cited by 982
Cited by
Cooper, M. J., Gutierrez, R. C., & Hameed, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00665.x · Cited by 992
International Stock Return Comovements
BEKAERT, G., HODRICK, R. J., & ZHANG, X. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01512.x · Cited by 855
Conditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Asset Pricing Models and Financial Market Anomalies
Avramov, D., & Chordia, T. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj025 · Cited by 523
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Gagliardini, P., Ossola, E., & Scaillet, O. (2016) · Econometrica · doi:10.3982/ecta11069 · Cited by 278
Metadata
- Authors
- Ghysels, E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1998-04
- Volume
- 53
- Issue
- 2
- Pages
- 549-573
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2134555350
- Cited by
- 426
- References
- 3
- FWCI
- 19.21
- Type
- journal article
- Language
- en
- Open access
- green
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- Ghysels, E. (1998). On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt? The Journal of Finance. https://doi.org/10.1111/0022-1082.224803
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
