Essays on asset pricing

J.M. Londono Yarce

Essays on asset pricing

J.M. Londono Yarce

Research output: Thesis › Doctoral Thesis

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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 language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	Baele, Lieven, Co-promotor Driessen, Joost, Promotor
Award date	9 Dec 2011
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	9789056683047
Publication status	Published - 2011

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title = "Essays on asset pricing",

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.",

author = "\{Londono Yarce\}, J.M.",

year = "2011",

language = "English",

isbn = "9789056683047",

series = "CentER Dissertation Series",

publisher = "CentER, Center for Economic Research",

school = "Tilburg University",

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TY - BOOK

T1 - Essays on asset pricing

AU - Londono Yarce, J.M.

PY - 2011

Y1 - 2011

N2 - 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.

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.

M3 - Doctoral Thesis

SN - 9789056683047

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Essays on asset pricing

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