Bear beta

Lu Zhongjin; Murray Scott

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Bear beta

机译：熊贝塔

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We test whether bear market risk, time variation in the probability of future bear market states, is priced. We construct an Arrow-Debreu security that pays off in bear market states (AD Bear) from traded Standard & Poor's (S&P) 500 index options and use its returns to measure bear market risk. We find that bear beta (exposure to bear market risk) has a strong relation with expected stock returns that is robust, persistent, and remains strong among liquid and large stocks. Historical bear beta also predicts future bear market risk exposure. We conclude that bear market risk is priced in the cross section of stock returns. (C) 2018 Elsevier B.V. All rights reserved.

机译：我们测试熊市风险，未来熊市状态概率的时间变化是否已定价。我们构建了Arrow-Debreu证券，该证券可以从标准普尔（S＆P）500指数期权交易中的熊市状态（AD Bear）中获得回报，并使用其收益来衡量熊市风险。我们发现，熊市贝塔值（承受熊市风险）与强劲，持久的股票预期收益具有强烈关系，并且在流动性和大型股票中仍然保持强劲。历史熊市beta还预测了未来熊市的风险敞口。我们得出结论，熊市风险是在股票收益的横截面中定价的。（C）2018 Elsevier B.V.保留所有权利。

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来源
《Journal of financial economics》 |2019年第3期|736-760|共25页
作者
Lu Zhongjin; Murray Scott;
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作者单位

Univ Georgia, Terry Coll Business, 620 South Lumpkin St, Athens, GA 30602 USA;

Georgia State Univ, J Mack Robinson Coll Business, 35 Broad St, Atlanta, GA 30303 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Arrow-Debreu state prices; Bear beta; Bear market risk; Downside risk; Factor models;

机译：Arrow-Debreu状态价格;Beta熊;熊市风险;下行风险;因子模型;

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Bear beta

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