Where do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
收藏NBER1993-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w4329
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资源简介：
This paper breaks assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition the paper uses a vector autoregressive time-series model and an approximate log-linear present value relation. The
提供机构：
美国国家经济研究局
创建时间：
1993-04-01
