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

Finansiell ekonomi, Vasa

University of Vaasa

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

2 Citeringar (Scopus)

Sammanfattning

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.

Originalspråk	Engelska
Referentgranskad vetenskaplig tidskrift	Finance Research Letters
Volym	17
Nummer	May
Sidor (från-till)	88-92
Antal sidor	5
ISSN	1544-6123
DOI	https://doi.org/10.1016/j.frl.2016.01.010
Status	Publicerad - 2016
MoE-publikationstyp	A1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

511 Nationalekonomi
512 Företagsekonomi

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10.1016/j.frl.2016.01.010

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title = "Identifying portfolio-based systematic risk factors in equity markets",

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 - Asset pricing model

KW - Betting-against-beta factor;

KW - Quality factor

KW - Investment factor

KW - Profitability factor

KW - 512 Business and Management

U2 - 10.1016/j.frl.2016.01.010

DO - 10.1016/j.frl.2016.01.010

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JO - Finance Research Letters

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Identifying portfolio-based systematic risk factors in equity markets

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