Good News, Bad News, Volatility, and Betas

CAPM, Components of Beta and the Cross Section of Expected Returns

“…Thus, the inclusion of these additional portfolios, favors beta component models with short-and medium-run components measured over a shorter period. This is consistent with substantial time variation in industry betas, which has been found in earlier studies such as Ferson and Harvey (1991) and Braun, Nelson, and Sunier (1995).…”

The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan

“…The LR5 and LR6 test whether negative past innovations cause a larger current volatility than positive innovations. The results of the estimations are all significantly negative and fit the assumption of the information asymmetric theory on financial securities (such as Braun, Nelson, and Sunier (1995)). If investors ignore the asymmetric characteristics in expecting the volatilities of a financial market, then investment risks will increase and profits may be lost.…”

Stock, Energy and Currency Effects on the Asymmetric Wheat Market

“…Nevertheless, the effect of leverage on the market volatility is questioned by many researchers. Braun et al (1991), and Campbell and Hentschel (1992) added that the expectation of greater volatility increases the required rate of return due to the increased risk premium, resulting in a decrease of the relative price. This theory is reported in the literature as the volatility feedback hypothesis.…”