Measuring the stock's factor beta and identifying risk factors under market inefficiency

Andrei Semenov

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 635-649

Abstract: We provide a closed-form measure of the stock's factor-specific beta coefficient that allows for a delay in the reaction of stock prices to systematic information. This measure explicitly relates the stock's factor beta to the investment horizon and enables investors to determine the return measurement interval that is required for the stock's factor beta to fully reflect the stock's factor risk. Exploiting daily data on individual NYSE, Nasdaq, and AMEX-listed common stocks, we use this measure to estimate and investigate the properties of the stock's beta with respect to the market.

Keywords: Equity risk premium; Factor beta; Multi-Factor asset pricing model; Systematic risk (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649

DOI: 10.1016/j.qref.2021.03.014

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