Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk / John Campbell, Jianping Mei.

Format:

Book

Author/Creator:

Campbell, John.

Contributor:

National Bureau of Economic Research.

Mei, Jianping.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4329.

NBER working paper series no. w4329

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

Summary:

This paper breaks assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition the paper uses a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. The paper also shows how asset pricing theory restricts the expected excess return components of betas.

Notes:

Print version record

April 1993.