Abstract

https://ssrn.com/abstract=2337973
 
 

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The Horizon of Systematic Risk: A New Beta Representation


Federico M. Bandi


University of Chicago - Booth School of Business

Andrea Tamoni


London School of Economics & Political Science (LSE)

January 14, 2017


Abstract:     
We represent the beta of an asset as a linear combination of frequency-specific betas, i.e., betas on components of the asset returns and components of the factor operating at different frequencies. The new representation is in time domain, thereby facilitating interpretation and applicability. It does not involve cross-covariances between frequency-specific components of asset returns and the factor, thus permitting all frequency-specific information to be contained exclusively in frequency-specific betas. When applied to consumption data, the methods provide evidence about the cross-sectional pricing ability of a business-cycle component of consumption growth.

Number of Pages in PDF File: 80

Keywords: frequency-specific betas, C-CAPM, business-cycle consumption

JEL Classification: C22, C32, E32, E44, G12


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Date posted: October 10, 2013 ; Last revised: January 15, 2017

Suggested Citation

Bandi, Federico M. and Tamoni, Andrea, The Horizon of Systematic Risk: A New Beta Representation (January 14, 2017). Available at SSRN: https://ssrn.com/abstract=2337973 or http://dx.doi.org/10.2139/ssrn.2337973

Contact Information

Federico Maria Bandi
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-834-4352 (Phone)

Chicago Booth School of Business Logo

Andrea Tamoni (Contact Author)
London School of Economics & Political Science (LSE) ( email )
Houghton Street
London, WC2A 2AE
United Kingdom
02079557303 (Phone)
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