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Cross-sectional conditional risk return analysis in the sorted beta framework: A novel Two Factor Model

Messis, P, Alexandridis, Antonis, Zapranis, Achilleas (2015) Cross-sectional conditional risk return analysis in the sorted beta framework: A novel Two Factor Model. In: 14th Hellenic Finance and Accounting Association. .

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Abstract

This study examines the conditional relationship between beta and return for stocks traded on S&P 500 for the period from July 2001 to June 2011. The portfolios formed based on the Book value per share and betas using monthly data. A novel approach for capturing time variation in betas whose pattern is treated as a function of market returns is developed and presented. The estimated coefficients of a nonlinear regression constitute the basis of creating a two factor model. Our results indicate that the proposed specification surpasses alternative models in explaining the cross-section of returns.

Item Type: Conference or workshop item (Paper)
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science > Actuarial Science
Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Antonis Alexandridis
Date Deposited: 28 Dec 2015 10:39 UTC
Last Modified: 29 May 2019 16:50 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/53562 (The current URI for this page, for reference purposes)
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