Identifying portfolio-based systematic risk factors in equity markets

Klaus Grobys; Jesper Per Alexander Haga

doi:10.1016/j.frl.2016.01.010

Identifying portfolio-based systematic risk factors in equity markets

Klaus Grobys, Jesper Per Alexander Haga

Finance, Vaasa

University of Vaasa

Research output: Contribution to journal › Article › Scientific › peer-review

2 Citations (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 language	English
Peer-reviewed scientific journal	Finance Research Letters
Volume	17
Issue number	May
Pages (from-to)	88-92
Number of pages	5
ISSN	1544-6123
DOIs	https://doi.org/10.1016/j.frl.2016.01.010
Publication status	Published - 2016
MoE publication type	A1 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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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.",

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KW - 511 Economics

KW - Asset pricing model

KW - Betting-against-beta factor;

KW - Quality factor

KW - Investment factor

KW - Profitability factor

KW - 512 Business and Management

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DO - 10.1016/j.frl.2016.01.010

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VL - 17

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JO - Finance Research Letters

JF - Finance Research Letters

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Identifying portfolio-based systematic risk factors in equity markets

Abstract

Keywords

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