Estimating the beta-return relationship by considering the sign and the magnitude of daily returns
We test the beta-return relationship under the working assumption that beta is realized under constrained but innovative trading environments. Specifically, we estimate a residual beta risk as the difference between a probability-weighted realized beta and an ordinary least squares (OLS) beta, and t...
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | article |
| منشور في: |
2017
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| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/5928 https://doi.org/10.1016/j.qref.2017.04.010 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1062976917301485 |
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| _version_ | 1864513478204588032 |
|---|---|
| author | Ben Sita, Bernard |
| author_facet | Ben Sita, Bernard |
| author_role | author |
| dc.creator.none.fl_str_mv | Ben Sita, Bernard |
| dc.date.none.fl_str_mv | 2017-07-20T09:25:57Z 2017-07-20T09:25:57Z 2017 2017-07-20 |
| dc.identifier.none.fl_str_mv | 1062-9769 http://hdl.handle.net/10725/5928 https://doi.org/10.1016/j.qref.2017.04.010 Sita, B. B. (2017). Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. The Quarterly Review of Economics and Finance, 67, 28-35. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1062976917301485 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | The Quarterly Review of Economics and Finance |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | We test the beta-return relationship under the working assumption that beta is realized under constrained but innovative trading environments. Specifically, we estimate a residual beta risk as the difference between a probability-weighted realized beta and an ordinary least squares (OLS) beta, and test the beta-return relationship using daily returns on the U.S. stock market factor and 30 U.S. industries. Our estimates of the market risk premium using the cross-sectional regression (CSR) of Fama and MacBeth (1973) over a period spanning from 1926/07 to 2014/12 are in line with the central prediction of the capital asset pricing model (CAPM) that the realized return is linearly related to beta. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_7ef454f5d8ef055b06b9b72014e60e63 |
| identifier_str_mv | 1062-9769 Sita, B. B. (2017). Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. The Quarterly Review of Economics and Finance, 67, 28-35. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/5928 |
| publishDate | 2017 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Estimating the beta-return relationship by considering the sign and the magnitude of daily returnsBen Sita, BernardWe test the beta-return relationship under the working assumption that beta is realized under constrained but innovative trading environments. Specifically, we estimate a residual beta risk as the difference between a probability-weighted realized beta and an ordinary least squares (OLS) beta, and test the beta-return relationship using daily returns on the U.S. stock market factor and 30 U.S. industries. Our estimates of the market risk premium using the cross-sectional regression (CSR) of Fama and MacBeth (1973) over a period spanning from 1926/07 to 2014/12 are in line with the central prediction of the capital asset pricing model (CAPM) that the realized return is linearly related to beta.PublishedN/A2017-07-20T09:25:57Z2017-07-20T09:25:57Z20172017-07-20Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article1062-9769http://hdl.handle.net/10725/5928https://doi.org/10.1016/j.qref.2017.04.010Sita, B. B. (2017). Estimating the beta-return relationship by considering the sign and the magnitude of daily returns. The Quarterly Review of Economics and Finance, 67, 28-35.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttp://www.sciencedirect.com/science/article/pii/S1062976917301485enThe Quarterly Review of Economics and Financeinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/59282021-03-19T09:10:08Z |
| spellingShingle | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns Ben Sita, Bernard |
| status_str | publishedVersion |
| title | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| title_full | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| title_fullStr | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| title_full_unstemmed | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| title_short | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| title_sort | Estimating the beta-return relationship by considering the sign and the magnitude of daily returns |
| url | http://hdl.handle.net/10725/5928 https://doi.org/10.1016/j.qref.2017.04.010 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S1062976917301485 |