Essays on asset pricing

J.M. Londono Yarce

Research output: ThesisDoctoral ThesisScientific

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Abstract

Finally, the third paper models and explains the dynamics of market betas for 30 US industry portfolios between 1970 and 2009. We use a DCC-MIDAS and kernel regression technique as alternatives to the standard ex-post measures. In this paper, we find betas to exhibit substantial persistence, time variation, ranking variability, and heterogeneity in their business cycle exposure. While we find only a limited amount of structural breaks in the betas of individual industries, we do identify a common structural break in March 1998. Finally, we find the cross-sectional dispersion in industry betas to be countercyclical and negatively related to future market returns.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Baele, Lieven, Co-promotor
  • Driessen, Joost, Promotor
Award date9 Dec 2011
Place of PublicationTilburg
Publisher
Print ISBNs9789056683047
Publication statusPublished - 2011

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Industry
Asset pricing
Structural breaks
Time variation
Market returns
Ranking
Persistence
Business cycles
Kernel regression

Cite this

Londono Yarce, J. M. (2011). Essays on asset pricing. Tilburg: CentER, Center for Economic Research.
Londono Yarce, J.M.. / Essays on asset pricing. Tilburg : CentER, Center for Economic Research, 2011. 141 p.
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Londono Yarce, JM 2011, 'Essays on asset pricing', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on asset pricing. / Londono Yarce, J.M.

Tilburg : CentER, Center for Economic Research, 2011. 141 p.

Research output: ThesisDoctoral ThesisScientific

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AB - Finally, the third paper models and explains the dynamics of market betas for 30 US industry portfolios between 1970 and 2009. We use a DCC-MIDAS and kernel regression technique as alternatives to the standard ex-post measures. In this paper, we find betas to exhibit substantial persistence, time variation, ranking variability, and heterogeneity in their business cycle exposure. While we find only a limited amount of structural breaks in the betas of individual industries, we do identify a common structural break in March 1998. Finally, we find the cross-sectional dispersion in industry betas to be countercyclical and negatively related to future market returns.

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Londono Yarce JM. Essays on asset pricing. Tilburg: CentER, Center for Economic Research, 2011. 141 p. (CentER Dissertation Series).