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Pricing Shocks to Conditional Market Beta

Thomas Andreas Maurer

出版	SSRN, 2016
URL	http://books.google.com.hk/books?id=kmr-zgEACAAJ&hl=&source=gbs_api

註釋

We estimate monthly conditional market beta of 10 momentum and 25 size and book-to-market portfolios between 1946 and 2016 using a multivariate GARCH model. In the ICAPM conditional market beta are important determinants of expected returns and covariances of assets. Thus, shocks to conditional market beta imply shocks to the investment opportunity set. We define shocks to conditional market beta as state variables, and document that they carry economically large and statistically significant risk premia. Moreover, we show that shocks to conditional market beta are related to but clearly distinct from the Fama-French-Carhart size, book-to-market and momentum factors.