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- W322495151 abstract "This paper examines to what extent dynamics in market, size and value betas are predictable out-of-sample. Constructing ex-ante market and factor neutral portfolios, i.e. zerobeta portfolios, we provide evidence that the dynamics in all three betas are predictable. We are able to construct zero-beta portfolios based on the forecasted betas that even out-of-sample have no significant exposure to neither the market nor the size and value factors. However, this result is highly dependent on the particular specification used to model the dynamics in betas and we conclude that more flexible specifications provide superior results. Finally, we find that the out-of-sample reduction in portfolio risk, both for size, value and industry sorted portfolios, is larger for models including the size and value factors in comparison with models relying only on the market factor." @default.
- W322495151 created "2016-06-24" @default.
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- W322495151 date "2007-01-01" @default.
- W322495151 modified "2023-09-25" @default.
- W322495151 title "Predictable Dynamics in Market, Size and Value Betas" @default.
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