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Estimating the beta-return relationship by considering the sign and the magnitude of daily returns

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dc.contributor.author Ben Sita, Bernard
dc.date.accessioned 2017-07-20T09:25:57Z
dc.date.available 2017-07-20T09:25:57Z
dc.date.copyright 2017 en_US
dc.identifier.issn 1062-9769 en_US
dc.identifier.uri http://hdl.handle.net/10725/5928
dc.description.abstract 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. en_US
dc.language.iso en en_US
dc.title Estimating the beta-return relationship by considering the sign and the magnitude of daily returns en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 200603722 en_US
dc.author.department Department of Finance and Accounting (FINA) en_US
dc.description.embargo N/A en_US
dc.relation.journal The Quarterly Review of Economics and Finance en_US
dc.keywords Asset pricing en_US
dc.keywords CAPM en_US
dc.keywords HML en_US
dc.keywords SMB en_US
dc.keywords Cross-sectional regression en_US
dc.identifier.doi https://doi.org/10.1016/j.qref.2017.04.010 en_US
dc.identifier.ctation 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. en_US
dc.author.email bernard.bensita@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S1062976917301485 en_US
dc.author.affiliation Lebanese American University en_US


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