Where is beta going ? the riskiness of value and small stocks

Francesco Franzoni ()

No 829, HEC Research Papers Series from HEC Paris

Abstract: This paper finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky.

Keywords: value; stocks; beta; risk; financial market (search for similar items in EconPapers)
JEL-codes: D40 G10 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2006-01-09
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:0829

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