Bayesian analysis of stochastic betas

Journal of Financial and Quantitative Analysis

Volumn 40, Issue 4, 2005, Pages 747-778

  Jostova, Gergana ^a   Philipov, Alexander ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b AMERICAN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 30344432406     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0022109000001964     Document Type: Review

References (37)

1. Ang, A., and J. Chen. "CAPM over the Long-Run: 1926-2001." Working Paper, Columbia Univ. and Univ. of Southern California (2003).
2. Ang, A., and J. Liu. "How to Discount Cashflows with Time-Varying Expected Returns." Journal of Finance, 59 (2004), 2745-2783.
3. Avramov, D., and T. Chordia. "Asset Pricing Models and Financial Market Anomalies." Review of Financial Studies, forthcoming (2005).
4. Baxter, N. D. "Leverage, Risk of Ruin and the Cost of Capital." Journal of Finance, 22 (1967), 395-403.
5. Beaver, W.; P. Kettler; and M. Scholes. "The Association between Market Determined and Accounting Determined Risk Measures." Accounting Review, 45 (1970), 654-682.
6. Ben-Zion, U., and S. S. Shalit. "Size, Leverage, and Dividend Record As Determinants of Equity Risk." Journal of Finance, 30 (1975), 1015-1026.
7. Berk, J. "Sorting Out Sorts." Journal of Finance, 55 (2000), 407-427.
8. Berk, J.; R. Green; and V. Naik. "Optimal Investment, Growth Options, and Security Returns." Journal of Finance, 54 (1999), 1553-1607.
9. Blume, M. E. "On The Assessment of Risk." Journal of Finance, 26 (1971), 177-181.
10. Bollerslev, T.; R. Engle; and J. Wooldridge. "A Capital Asset Pricing Model with Time Varying Covariances." Journal of Political Economy, 96 (1988), 116-131.
11. Box, G. E. P., and G. C. Tiao. Bayesian Inference in Statistical Analysis. Wiley Classics Library ed. New York: John Wiley & Sons (1992).
12. Braun, P.; D. Nelson; and A. Sunier. "Good News, Bad News, Volatility, and Betas." Journal of Finance, 50 (1995), 1575-1603.
13. Brennan, M.; T. Chordia; and A. Subrahmanyam. "Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns." Journal of Financial Economics, 49 (1998), 345-373.
14. Campbell, J., and T. Vuolteenaho. "Bad Beta, Good Beta." American Economic Review, forthcoming (2005).
15. Chen, S., and C. F. Lee. "Bayesian and Mixed Estimators of Time-Varying Betas." Journal of Economics and Business, 34 (1982), 291-301.
16. Fama, E., and K. French. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), 427-465.
17. Fama, E., and J. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, 81 (1973), 607-636.
18. Ferson, W., and C. Harvey. "The Risk and Predictability of International Equity Returns." Review of Financial Studies, 6 (1993), 527-566.
19. Gelfand, A. E., and A. F. M. Smith. "Sampling-Based Approaches to Calculating Marginal Densities." Journal of the American Statistical Association, 85 (1990), 398-409.
20. Gelman, A.; J. B. Carlin; H. S. Stern; and D. B. Rubin. Bayesian Data Analysis, 1st ed. London: Chapman & Hall (1995).
21. Geweke, J. "Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments." In Bayesian Statistics 4, J. O. Berger, J. M. Bernardo, A. P. David, and A. F. M. Smith, eds. Oxford: Oxford Univ. Press (1992).
22. Ghysels, E. "On Stable Factor Structures in the Pricing: Do Time-Varying Betas Help or Hurt?" Journal of Finance, 53 (1998), 549-573.
23. Gomes, J.; L. Kogan; and L. Zhang. "Equilibrium Cross-Section of Returns." Journal of Political Economy, 111 (2003), 693-732.
24. Jacquier, E.; N. G. Poison; and P. E. Rossi. "Bayesian Analysis of Stochastic Volatility Models (with discussion)." Journal of Business and Economic Statistics, 12 (1994), 281-300.
25. Kaldor, N. "Capital Accumulation and Economic Growth." In Proceedings of a Conference Held by the International Economics Association. F. A. Lutz and D. C. Hague, eds. London: Macmillan (1961).
26. Ledoit, O.; P. Santa-Clara; and M. Wolf. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets." Review of Economics and Statistics, 85 (2003), 735-747.
27. Levy, R. A. "Stationarity of Beta Coefficients." Financial Analysts Journal, 27 (1971), 55-62.
28. Lewellen, J., and S. Nagel. "The Conditional CAPM Does Not Explain Asset-Pricing Anomalies." Working Paper, MIT and Harvard Univ. (2003).
29. Litzenberger, R., and K. Ramaswamy. "The Effect of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence." Journal of Financial Economics, 7 (1979), 163-196.
30. Lo, A., and C. MacKinlay. "Data-Snooping Biases in Tests of Financial Asset Pricing Models." Review of Financial Studies, 3 (1990), 431-468.
31. Petkova, R., and L. Zhang. "Is Value Riskier than Growth?" Journal of Financial Economics, forthcoming (2005).
32. Shanken, J. "Intertemporal Asset Pricing: An Empirical Investigation." Journal of Econometrics, 45 (1990), 99-120.
33. Tamayo, A. "Stock Return Predictability, Conditional Asset Pricing Models and Portfolio Selection." Working Paper, London Business School (2002).
34. Turnbull, S. M. "Market Value and Systematic Risk." Journal of Finance, 32 (1977), 1125-1142.
35. Turtle, H.; A. Buse; and B. Korkie. "Test of Conditional Asset Pricing with Time-Varying Moments and Risk Prices." Journal of Financial and Quantitative Analysis, 29 (1994), 15-29.
36. Vasicek, O. "A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas." Journal of Finance, 28 (1973), 1233-1239.
37. Zhang, L. "The Value Premium." Journal of Finance. 60 (2004), 67-103.