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.
|Qualification||Doctor of Philosophy|
|Award date||9 Dec 2011|
|Place of Publication||Tilburg|
|Publication status||Published - 2011|