文章基本信息

标题：Refining Our Understanding of Beta through Quantile Regressions
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作者：Atkins, Allen B. ; Ng, Pin T.
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2014
卷号：7
期号：2
页码：67-79
出版社：MDPI, Open Access Journal
摘要：The Capital Asset Pricing Model (CAPM) has been a key theory in financial economics since the 1960s. One of its main contributions is to attempt to identify how the risk of a particular stock is related to the risk of the overall stock market using the risk measure Beta. If the relationship between an individual stock’s returns and the returns of the market exhibit heteroskedasticity, then the estimates of Beta for different quantiles of the relationship can be quite different. The behavioral ideas first proposed by Kahneman and Tversky (1979), which they called prospect theory, postulate that: (i) people exhibit “loss-aversion” in a gain frame; and (ii) people exhibit “risk-seeking” in a loss frame. If this is true, people could prefer lower Beta stocks after they have experienced a gain and higher Beta stocks after they have experienced a loss. Stocks that exhibit converging heteroskedasticity (22.2% of our sample) should be preferred by investors, and stocks that exhibit diverging heteroskedasticity (12.6% of our sample) should not be preferred. Investors may be able to benefit by choosing portfolios that are more closely aligned with their preferences.
关键词：Beta; risk preferences; portfolio management; quantile regression; hetero-skedasticity