Explanations for the Instability of Equity Beta: Risk-Free Rate Changes and Leverage Effects
Explanations for the Instability of Equity Beta: Risk-Free Rate Changes and Leverage Effects
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股权贝塔不稳定的解释：无风险利率变化和杠杆效应
DOI：
10.2307/2330678
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发表时间：
1985
影响因子：
3.9
通讯作者：
D. Collins
中科院分区：
文献类型：
--
作者：
D. DeJong;D. Collins
摘要本文是弥合目前存在于股票贝塔不稳定性理论与实证文献之间的差距的初步尝试。我们专注于两个因素，从联合期权定价模型/资本资产定价模型框架的杠杆和意外的变化，无风险利率，这是假设影响不稳定的股票贝塔跨公司和随着时间的推移。使用替代变量参数回归模型，我们发现，高杠杆公司表现出更大的股权贝塔不稳定性比低杠杆公司。随着时间的推移，与无风险利率发生小的意外变化的时期相比，在无风险利率发生大的意外变化的时期，股票贝塔表现出更大的不稳定性。
Abstract This paper is an initial attempt to bridge the gap that presently exists between the theoretical and empirical literature on the instability of equity beta. We focus on two factors from the joint Option Pricing Model/Capital Asset Pricing Model framework—leverage and unexpected changes in the risk-free rate—which are hypothesized to influence the instability of equity beta across firms and over time. Using alternative variable parameter regression models, we find that highly leveraged firms exhibit greater equity beta instability than firms with lower leverage. Over time, equity betas exhibit greater instability during periods of large unexpected changes in the risk-free rate when compared to periods with small unexpected changes in the risk-free rate.
影响因子：
6.1
作者：
SWAMY, PAVB
通讯作者：
SWAMY, PAVB