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hal.structure.identifier
dc.contributor.authorAkdeniz, Levent*
hal.structure.identifier
dc.contributor.authorAltay-Salih, Aslihan*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorArisoy, Eser*
dc.date.accessioned2012-09-27T07:56:58Z
dc.date.available2012-09-27T07:56:58Z
dc.date.issued2012-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/10249
dc.language.isoenen
dc.subjectVolatilityen
dc.subjectthreshold regressionen
dc.subjectbetaen
dc.subjectasset pricingen
dc.subject.ddc332en
dc.subject.classificationjelC24en
dc.subject.classificationjelG12en
dc.titleAggregate Volatility and Threshold CAPMen
dc.typeCommunication / Conférence
dc.description.abstractenWe propose a volatility-based threshold capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to innovations in aggregate volatility. Using option-implied measures (i.e. returns on at-the-money straddles written on the S&P 500 index and range of the VIX index) as proxies for changes in aggregate volatility, we find that asset sensitivity to market risk changes significantly when aggregate market volatility is beyond a certain threshold. More specifically, portfolios of small (big) and value (growth) stocks have significantly higher (lower) betas at times of high volatility. Due to changes in their market betas, small and value stocks are perceived riskier than their big and growth counterparts in bad times, when aggregate volatility is high. The proposed model also does a better job with pricing, especially for value and small portfolios and when aggregate market volatility is high.en
dc.identifier.citationpages51en
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle2012 FMA Annual Meetingen
dc.relation.confdate2012-10
dc.relation.confcityAtlanta, Georgiaen
dc.relation.confcountryÉtats-Unisen
dc.relation.forthcomingnonen
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