Details
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 105834 |
| Fachzeitschrift | Journal of Banking and Finance |
| Jahrgang | 116 |
| Publikationsstatus | Veröffentlicht - 27 Apr. 2020 |
Abstract
A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both economically and statistically significantly priced in the cross-section of stock returns. Stocks with high beta uncertainty substantially underperform those with low beta uncertainty: a two-standard-deviation increase in the measure decreases average annual returns by 9.7%. These results cannot be explained by previously discovered determinants of cross-sectional stock returns. Aggregate beta uncertainty negatively predicts market excess returns in the short and medium term. We find supporting evidence for a mispricing explanation of the beta uncertainty premium.
ASJC Scopus Sachgebiete
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Finanzwesen
- Volkswirtschaftslehre, Ökonometrie und Finanzen (insg.)
- Volkswirtschaftslehre und Ökonometrie
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in: Journal of Banking and Finance, Jahrgang 116, 105834, 27.04.2020.
Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review
}
TY - JOUR
T1 - Beta uncertainty
AU - Hollstein, Fabian
AU - Prokopczuk, Marcel
AU - Wese Simen, Chardin
PY - 2020/4/27
Y1 - 2020/4/27
N2 - A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both economically and statistically significantly priced in the cross-section of stock returns. Stocks with high beta uncertainty substantially underperform those with low beta uncertainty: a two-standard-deviation increase in the measure decreases average annual returns by 9.7%. These results cannot be explained by previously discovered determinants of cross-sectional stock returns. Aggregate beta uncertainty negatively predicts market excess returns in the short and medium term. We find supporting evidence for a mispricing explanation of the beta uncertainty premium.
AB - A stock's exposure to systematic risk factors is surrounded by substantial uncertainty. This beta uncertainty is both economically and statistically significantly priced in the cross-section of stock returns. Stocks with high beta uncertainty substantially underperform those with low beta uncertainty: a two-standard-deviation increase in the measure decreases average annual returns by 9.7%. These results cannot be explained by previously discovered determinants of cross-sectional stock returns. Aggregate beta uncertainty negatively predicts market excess returns in the short and medium term. We find supporting evidence for a mispricing explanation of the beta uncertainty premium.
KW - Ambiguity
KW - Beta
KW - CAPM
KW - Disagreement
KW - Parameter uncertainty
UR - http://www.scopus.com/inward/record.url?scp=85085147718&partnerID=8YFLogxK
U2 - 10.1016/j.jbankfin.2020.105834
DO - 10.1016/j.jbankfin.2020.105834
M3 - Article
AN - SCOPUS:85085147718
VL - 116
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
M1 - 105834
ER -