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Changes in Factor Betas and Risk Premiums over Varying Market Conditions

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  • Ahmed, Parvez
  • Lockwood, Larry J

Abstract

We show risk exposures and premiums associated with the Chen, Roll, and Ross (1986) risk factors change over time and depend on stock market and business cycle condition. Findings also indicate that factor risk premiums change sign between January and non-January, especially during bull markets. These findings serve as a caveat for portfolio managers who allocate assets to match desired exposures to key macroeconomic risk factors. Copyright 1998 by MIT Press.

Suggested Citation

  • Ahmed, Parvez & Lockwood, Larry J, 1998. "Changes in Factor Betas and Risk Premiums over Varying Market Conditions," The Financial Review, Eastern Finance Association, vol. 33(3), pages 149-168, August.
    • Handle: RePEc:bla:finrev:v:33:y:1998:i:3:p:149-68
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    Cited by:

    1. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    2. Ahmed, Parvez, 2001. "Forecasting correlation among equity mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1187-1208, June.

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