Identifying portfolio-based systematic risk factors in equity markets

Klaus Grobys and Jesper Haga

Finance Research Letters, 2016, vol. 17, issue C, 88-92

Abstract: Four prominent new asset pricing factors have recently been proposed. We test whether these factors fulfill the necessary conditions to qualify as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.

Keywords: Asset pricing model; Betting-against-beta factor; Quality factor; Investment factor; Profitability factor (search for similar items in EconPapers)
JEL-codes: C58 G10 G12 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:17:y:2016:i:c:p:88-92

DOI: 10.1016/j.frl.2016.01.010

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