Deleveraging CAPM: Asset Betas vs. Equity Betas

Barone, Gaia (2017) Deleveraging CAPM: Asset Betas vs. Equity Betas. In: European Financial Management Association 2017 Annual Conference, 28th June - 1st July 2017, Deree – The American College of Greece, Athens, Greece. (Submitted)

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Abstract

The classic estimates of CAPM equity betas are notoriously unstable. We suppose that this is mainly due to changes of firm’s leverage over time.

In order to take leverage into account, we propose a new approach where asset correlations among firms are pairwise constant, while equity correlations depend on the stochastic evolution of firms’ asset values.

Item Type:	Conference or Workshop Item (Paper)
Subjects:	H Social Sciences > HG Finance H Social Sciences > HG Finance > Credit. Debt. Loans.
Divisions:	School of Business > Staff Research and Publications
Depositing User:	Caoimhe Ní Mhaicín
Date Deposited:	13 Sep 2018 14:13
Last Modified:	13 Sep 2018 14:13
URI:	https://norma.ncirl.ie/id/eprint/3122

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