Agency‐Based Asset Pricing and the Beta Anomaly

Blitz, David

doi:10.1111/eufm.12039

Cited by 14 publications

(4 citation statements)

References 61 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Therefore, our analysis begins with the static CAPM, whose primary output is the expected return of an asset i at time t with the assumption that investors are risk averse and that the market is complete (see, e.g. Cortazar et al 2013;Blitz, 2014). Return on asset i and the market portfolios for indices may be expressed as R i,t = ln Pi,t Pi,t−1 where R i,t is the log return on asset i in period t, for instance a given value-weighted stock index.…”

Section: Unconditional Capmmentioning

confidence: 99%

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

2020

View full text Add to dashboard Cite

Section: Unconditional Capmmentioning

confidence: 99%

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

2020

View full text Add to dashboard Cite

“…Blitz (2014) showed that asset pricing model with a SDF-based behavioural beta performs better than a traditional capital asset pricing model (CAPM) and Fama–French three-factor model. Using the Center for Research in Security Prices (CRSP) data of monthly frequency for US stock markets from 1926 to 2010, he found that market beta is not a priced risk factor in the cross-section of returns and behavioural beta captures return dynamics better, in most of the return quantiles.…”

Section: Behavioural Asset Pricing Model (Bapm) With Informal Market mentioning

confidence: 99%

Behavioural Asset Pricing: Review and Synthesis

Chandra

Thenmozhi

2017

Journal of Interdisciplinary Economics

View full text Add to dashboard Cite

This article presents an overview of literature on behavioural and experimental asset pricing theory. We systematically review the evolution and current development of behavioural asset pricing models as an alternate approach to asset pricing in financial economics literature. A review and synthesis of research carried out in behavioural finance spreading across theoretical, empirical and experimental approaches are presented to understand the behavioural dimension of pricing of financial assets. From theoretical perspective, behavioural asset pricing models try to adopt additional behavioural variables into asset pricing process. In terms of empirical investigation perspective, it is documented that econometric and computational advancement takes its biggest place ever in financial literature when compared with the other field. Our review underlines the fact that the direction of advancing a methodology is changing from financial literature to economics due to the fact that there is huge account of raw data available to analyze. Future research direction should be judging the empirical power of the asset pricing models and their role in practice for incorporating a new dimension to the model. The distinctiveness of the study is that this is the first attempt to review literature written on behavioural asset pricing models in the form of structural empirical review. In doing so, the historical perspective of the concept and the place it will take in future are clarified and the way further researches will be conducted are explored. JEL: E03, G02, G12

show abstract

“…This factor premium has been identified in the academic literature for a long time, but is less well known than the Value, Size and Momentum factors. We refer to Haugen and Baker (1991), Ang et al (2006), Blitz andVan Vliet (2007, 2011) and Van Vliet (2011) for further underpinning. The 'leverage aversion' theory serves as an explanation of this anomaly (see Asness et al, 2012 for a good description).…”

Section: Most Common Factorsmentioning

confidence: 99%

“…Finally, Ang argues that special attention should be paid to the relationship between asset owners and delegated managers, where asset owners need to ascertain that managers do not burden the asset owner with additional sets of bad times. Blitz () contributes to this line of research by arguing that the agency effects arising from delegated portfolio management can cause the relationship between market beta and expected stock returns to become flat, instead of linearly positive as assumed in widely‐accepted asset pricing models. His agency‐based 3‐factor model, which assumes a flat relationship between market beta and expected stock returns, is much better able to explain the performance of portfolios sorted on beta or volatility, consistent with the results of previous studies which conclude that the CAPM and the standard 3‐factor model fail to explain the performance of such portfolios.…”

Section: Factor Investing In Perspectivementioning

confidence: 99%

Investing in Systematic Factor Premiums

Koedijk

Slager

Stork

2016

Euro Fin Management

View full text Add to dashboard Cite

In this paper we investigate and evaluate factor investing in the US and Europe for equities and bonds. We show that factor-based portfolios generally produce comparable or better portfolios than market indices. We expand the analysis to other asset classes and factors, work with other optimisation methods and add a basic liability structure. The results do not depend on adding other asset classes or on the removal of a specific factor. Finally, we study the results for a worldwide investor who invests beyond the US and Europe. Over the longer term and with consistently applied factor diversification, factor investing appears to be advantageous.

show abstract

Agency‐Based Asset Pricing and the Beta Anomaly

Cited by 14 publications

References 61 publications

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

A dynamic conditional regime-switching GARCH CAPM for energy and financial markets

Behavioural Asset Pricing: Review and Synthesis

Investing in Systematic Factor Premiums

Contact Info

Product

Resources

About