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Identifying Portfolio-Based Systematic Risk Factors in Equity Markets

Finance Research Letters, Forthcoming

Posted: 6 Nov 2015 Last revised: 10 Feb 2016

See all articles by Klaus Grobys

Klaus Grobys

University of Vaasa; University of Jyväskyla

Jesper Haga

Hanken School of Economics - Department of Finance and Statistics

Date Written: November 4, 2015

Abstract

Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.

Keywords: asset pricing model, betting-against-beta factor, quality factor, investment factor, profitability factor

JEL Classification: G12, G14

Suggested Citation

Grobys, Klaus and Haga, Jesper, Identifying Portfolio-Based Systematic Risk Factors in Equity Markets (November 4, 2015). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2686103 or http://dx.doi.org/10.2139/ssrn.2686103

Klaus Grobys

University of Vaasa ( email )

P.O. Box 700
Wolffintie 34
FIN-65101 Vaasa
Finland

University of Jyväskyla ( email )

Jyväskyla
Finland

Jesper Haga (Contact Author)

Hanken School of Economics - Department of Finance and Statistics ( email )

P.O. Box 287
FIN-65101 Vasa
Finland

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