Hossein Asgharian
Professor
Long- and short-run components of factor betas : Implications for stock pricing
Author
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.
Department/s
- Department of Economics
Publishing year
2021-09
Language
English
Publication/Series
Journal of International Financial Markets, Institutions and Money
Volume
74
Document type
Journal article
Publisher
North-Holland
Topic
- Economics
Keywords
- Component GARCH model
- Long-run betas
- MIDAS
- Risk premia
- Short-run betas
Status
Published
ISBN/ISSN/Other
- ISSN: 1042-4431