[英文文献] Long- and Short-Run Components of Factor Betas: Implications for Equity Pri... [推广有奖]

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回归模型882 发表于 2004-12-9 14:04:57 |AI写论文

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英文文献：Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing-要素贝塔的长期和短期组成部分:对股票定价的影响
英文文献作者：Hossein Asgharian,Charlotte Christiansen,Ai Jun Hou,Weining Wang
英文文献摘要：
We suggest a bivariate component GARCH model that simultaneously obtains factor betas’ long- and short-run components. We apply this new model to industry portfolios using market, small-minus-big, and high-minus-low portfolios as risk factors and find that the cross-sectional average and dispersion of the betas’ short-run component increase in bad states of the economy. Our analysis of the risk premium highlights the importance of decomposing risk across horizons: The risk premium associated with the short-run market beta is significantly positive. This is robust to the portfolio-set choice.

我们提出了一个二元分量GARCH模型，该模型可以同时得到因子倍的长期和短期分量。以市场、小-小-大、高-小-低组合为风险因素，将此新模型应用于产业组合，发现在经济处于不利状态时，贝塔短期成分的横截面平均值和离散度均增加。我们对风险溢价的分析突显了跨视野分解风险的重要性:与短期市场beta相关的风险溢价显著为正。这对组合选择来说是稳健的。