WHERE DO BETAS COME FROM - ASSET PRICE DYNAMICS AND THE SOURCES OF SYSTEMATIC-RISK

• 成果类型: Article
• 署名作者: CAMPBELL, JY; MEI, JP
• 署名单位: New York University; Princeton University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/6.3.567
• 发表日期: 1993
• 页码: 567
• 关键词: expected stock returns; dividend yields; MARKET

摘要

In this article we break assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. We also show how asset pricing theory restricts the expected excess return components of betas.