Non-myopic betas / by Semyon Malamud & Grigory Vilkov (Record no. 361366)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01344nam a22001937a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190323b xxu||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 0304-405X |
| 245 ## - TITLE STATEMENT | |
| Title | Non-myopic betas / by Semyon Malamud & Grigory Vilkov |
| Statement of responsibility, etc | Semyon Malamud & Grigory Vilkov |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Amsterdam |
| Name of publisher, distributor, etc | Elsevier |
| Date of publication, distribution, etc | August 2018 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | Pages 357-381 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Journal of Financial Economics |
| Volume number/sequential designation | 129 (2) |
| International Standard Serial Number | 0304-405X |
| 500 ## - GENERAL NOTE | |
| General note | Abstract<br/>An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfolio (non-myopic betas), which is identified nonparametrically from equilibrium. Non-myopic betas are priced in the cross-section of stocks, producing increasing and economically significant risk-return relation. In the model with funding constraints, low non-myopic beta stocks deliver higher risk-adjusted returns. Empirically, a betting against non-myopic beta portfolio generates superior performance relative to common factor models and is negatively correlated with the market betting against beta portfolio. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Asset prices |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Beta |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | CAPM |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Hedging |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Strategic asset allocation |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Item type | Periodicals |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | College Library | College Library | Periodical Section | 03/23/2019 | 03/23/2019 | 03/23/2019 | Periodicals |