Generalized Option Betas
نویسندگان
چکیده
منابع مشابه
Conditional Betas ∗
Empirical evidence shows that conditional market betas vary substantially over time. Yet, little is known about the source of this variation, either theoretically or empirically. Within a general equilibrium model with multiple assets and a time varying aggregate equity premium, we show that conditional betas depend on (a) the level of the aggregate premium itself; (b) the level of the firm’s e...
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متن کاملInternet Appendix to ``Speculative Betas'' citecolor=black
A. Proof of Theorem 1 Proof. We solve the model here allowing for heteroskedastic dividends σ2 i . Theorem 1 can then be proved as the special case σ 2 = σ 2 i . We assume that assets are ranked in ascending order of β/σ2. We first posit an equilibrium structure. We then check ex-post that it is indeed an equilibrium and that it is a unique equilibrium. Let ī ∈ [2, N ] and let μi be the share h...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2013
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2013.33035