Hollstein, Fabian, Prokopczuk, Marcel and Wese Simen, Chardin 
ORCID: 0000-0003-4119-3024
(2020)
Beta Uncertainty.
Journal of Banking and Finance, 116.
p. 105834.
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Beta Uncertainty.pdf - Author Accepted Manuscript Download (1MB) | Preview |
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Beta, CAPM, Disagreement, Ambiguity, Parameter Uncertainty |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 29 Apr 2020 09:19 |
| Last Modified: | 18 Jan 2023 23:53 |
| DOI: | 10.1016/j.jbankfin.2020.105834 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3085136 |
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