全球智库信息集成服务系统(G2TT): Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w4329
来源ID	Working Paper 4329
	Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
	John Campbell; Jianping Mei
发表日期	1993-04-01
出版年	1993
语种	英语
摘要	This paper breaks assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition the paper uses a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w4329
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/561692
推荐引用方式 GB/T 7714	John Campbell,Jianping Mei. Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk. 1993.