Identifying portfolio-based systematic risk factors in equity markets

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1 Citation (Scopus)

Abstract

Four prominent new asset pricing factors have recently been proposed. We test whether these factors fulfill the necessary conditions to qualify as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.
Original languageEnglish
Peer-reviewed scientific journalFinance Research Letters
Volume17
Issue numberMay
Pages (from-to)88-92
Number of pages5
ISSN1544-6123
DOIs
Publication statusPublished - 2016
MoE publication typeA1 Journal article - refereed

Keywords

  • 511 Economics
  • Asset pricing model
  • Betting-against-beta factor;
  • Quality factor
  • Investment factor
  • Profitability factor
  • 512 Business and Management

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