Changes in Factor Betas and Risk Premiums Over Varying Market Conditions

Posted: 8 Aug 1998

See all articles by Parvez Ahmed

Parvez Ahmed

University of North Florida - Coggin College of Business

Larry J. Lockwood

Texas Christian University

Abstract

We show risk exposures and premiums associated with the Chen, Roll, and Ross (1986) risk factors change over time and depend on stock market and business cycle condition. Findings also indicate that factor risk premiums change sign between January and non-January, especially during bull markets. These findings serve as a caveat for portfolio managers who allocate assets to match desired exposures to key macroeconomic factors.

JEL Classification: G12

Suggested Citation

Ahmed, Parvez and Lockwood, Larry J., Changes in Factor Betas and Risk Premiums Over Varying Market Conditions. Available at SSRN: https://ssrn.com/abstract=103096

Parvez Ahmed

University of North Florida - Coggin College of Business ( email )

4567 St. Johns Bluff Road, South
Jacksonville, FL 32224-2645
United States

Larry J. Lockwood (Contact Author)

Texas Christian University ( email )

Fort Worth, TX 76129
United States
817-921-7420 (Phone)
817-921-7227 (Fax)

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