Premium
Changes in Factor Betas and Risk Premiums Over Varying Market Conditions
Author(s) -
Ahmed Parvez,
Lockwood Larry J.
Publication year - 1998
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1998.tb01388.x
Subject(s) - risk premium , portfolio , market risk , stock (firearms) , economics , risk factor , financial economics , business , econometrics , medicine , engineering , mechanical engineering
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.