Do realized betas exhibit up/down market tendencies?

Woodward, George; Brooks, Robert Darren

doi:10.1016/j.iref.2008.05.001

Cited by 10 publications

(3 citation statements)

References 23 publications

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“…(17) needs to be justified. For this purpose, we tested the LSTAR model against a linear autoregressive model ( Enders, 2014 ; González et al, 2005 ; Woodward and Brooks, 2009 ). Smooth transitioning between market states can be achieved by rewriting Eq.…”

Section: Methodsmentioning

confidence: 99%

Islamic equity investments and the COVID-19 pandemic

Ashraf¹,

Rizwan²,

Ahmad³

2022

Pacific-Basin Finance Journal

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Section: Methodsmentioning

confidence: 99%

Islamic equity investments and the COVID-19 pandemic

Ashraf¹,

Rizwan²,

Ahmad³

2022

Pacific-Basin Finance Journal

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“…For this purpose, we tested the LSTAR model against a linear autoregressive model (Enders, 2014;González, Teräsvirta, & Dijk, 2005;Woodward & Brooks, 2009). Smooth transitioning between market states can be achieved by rewriting equation ( 11) as follows:…”

Section: Logistic Smooth Transition Autoregressive (Lstar) Modelmentioning

confidence: 99%

Islamic Equity Investments and the COVID-19 Pandemic

Ashraf

2020

SSRN Journal

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“…The importance of the stock betas in portfolio holding is another important aspect of management. Stock betas evolve with economic conditions Francis 1977, 1979;Spiceland et al 1983;Bhardwaj et al 1993;Clinebell, Squires, and Stevens 1993;Woodward et al 2009), so portfolio betas are not constant over time (Bollerslev et al 1988;Evans and EVANS 1994;Lewellen et al 2006;Kizys et al 2011, among others). These movements are important when equity managers balance their portfolios to adjust their market exposure and develop correct selectivity and timing skills.…”

Section: Introductionmentioning

confidence: 99%

Pension fund manager skills over the economic cycle: the (non-)specialization cost

Alda

2016

The European Journal of Finance

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We study whether pension fund managers, as professionals of important social and financial products, are able to add value for their clients and adapt to economic changes. To this end, we analyze the performance and skills (market timing and stock picking) over the economic cycle from both pension fund and manager perspectives. This double analysis allows examining whether skills reside in managers and/or funds and control for manager substitutions. Despite the long-term nature of pension funds, we find that both fund and manager skills vary with market conditions, showing better evidence of stock-picking in booms, and of market timing in recessions. Nonetheless, top (bottom) funds and managers exhibit both (incorrect) skills in booms and in recessions. Some of the top (bottom) funds and managers are the best (worst) in both abilities in the same periods, but not in different periods, showing that not all managers have the ability to adapt to market conditions. Additionally, managers with limited skills tend to specialize because diversification requires multi-task skills and the non-specialization of these managers usually results in incorrect skills.

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Do realized betas exhibit up/down market tendencies?

Cited by 10 publications

References 23 publications

Islamic equity investments and the COVID-19 pandemic

Islamic equity investments and the COVID-19 pandemic

Islamic Equity Investments and the COVID-19 Pandemic

Pension fund manager skills over the economic cycle: the (non-)specialization cost

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