Temporary and Permanent Market Risks: Some Further Evidence

Koubouros, Michail, Malliaropulos, Dimitrios, Panopoulou, Ekaterini (2007) Temporary and Permanent Market Risks: Some Further Evidence. Mathematical and Computer Modelling, 46 (1-2). pp. 163-173. ISSN 0895-7177. (doi:10.1016/j.mcm.2006.12.016) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34292)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1016/j.mcm.2006.12.016

Abstract

We study the time-series behavior of portfolio and market specific dividend-growth rates’ and discount rates’ components of total market risk (CAPM beta). Employing a VAR(1)-GARCH(1,1) methodology and a set of US 20 single-sorted book-to-market and size portfolios from 1928 to 2001, we show that the decomposition of the single-factor beta delivers stable systematic risk measures and increases considerably the cross-sectional variation of the estimated betas across size and value portfolios. This feature may prove valuable in asset-pricing and calculations of the cost of equity capital.

Item Type:	Article
DOI/Identification number:	10.1016/j.mcm.2006.12.016
Uncontrolled keywords:	CAPM; Cash-flow risk; Discount-rate risk; VAR-GARCH; BEKK; Value/size premium
Subjects:	H Social Sciences > H Social Sciences (General)
Divisions:	Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User:	Catherine Norman
Date Deposited:	13 Jun 2013 15:37 UTC
Last Modified:	05 Nov 2024 10:17 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/34292 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID:	https://orcid.org/0000-0001-5080-9965
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