The University of Southampton
University of Southampton Institutional Repository

The changing sensitivity of realized portfolio betas to U.S. output growth: an analysis based on real-time data

The changing sensitivity of realized portfolio betas to U.S. output growth: an analysis based on real-time data
The changing sensitivity of realized portfolio betas to U.S. output growth: an analysis based on real-time data
Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization (“size”) and book-to-market value (“value”) to output growth in the United States. We estimate a state space model to analyze the sensitivity of portfolio betas to output growth. We measure output growth using real-time and revised data. Output growth has a significant effect on portfolio betas when size and value are high. Such portfolio betas exhibit countercyclical dynamics. They are more sensitive, in absolute terms, to output growth when the latter is measured using real-time data. Their sensitivity to output growth has grown over time. Portfolio betas with respect to output growth have become smaller over time, in contrast, when size is large but value is low.
0148-6195
168-186
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451

Kizys, Renatas and Pierdzioch, Christian (2011) The changing sensitivity of realized portfolio betas to U.S. output growth: an analysis based on real-time data. Journal of Economics and Business, 63 (3), 168-186. (doi:10.1016/j.jeconbus.2010.11.002).

Record type: Article

Abstract

Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization (“size”) and book-to-market value (“value”) to output growth in the United States. We estimate a state space model to analyze the sensitivity of portfolio betas to output growth. We measure output growth using real-time and revised data. Output growth has a significant effect on portfolio betas when size and value are high. Such portfolio betas exhibit countercyclical dynamics. They are more sensitive, in absolute terms, to output growth when the latter is measured using real-time data. Their sensitivity to output growth has grown over time. Portfolio betas with respect to output growth have become smaller over time, in contrast, when size is large but value is low.

This record has no associated files available for download.

More information

Accepted/In Press date: 8 November 2010
e-pub ahead of print date: 18 November 2010
Published date: 2011

Identifiers

Local EPrints ID: 434454
URI: http://eprints.soton.ac.uk/id/eprint/434454
ISSN: 0148-6195
PURE UUID: 632be76f-3146-44f0-aaaa-30e7f1694d6e
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 24 Sep 2019 16:30
Last modified: 08 Jan 2022 03:39

Export record

Altmetrics

Contributors

Author: Renatas Kizys ORCID iD
Author: Christian Pierdzioch

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×