6533b86ffe1ef96bd12cdb2f
RESEARCH PRODUCT
Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
Klaus GrobysKlaus GrobysJesper Hagasubject
Actuarial sciencemedia_common.quotation_subjectSystematic riskEquity (finance)PortfolioCapital asset pricing modelQuality (business)Profitability indexBusinessInvestment (macroeconomics)Test (assessment)media_commondescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-01-01 | SSRN Electronic Journal |