Bad Beta, Good Beta, and Rare Events
نویسنده
چکیده
This paper shows that rare events help explaining the cross section of asset returns, the reason being that they are important in shaping agentsexpectations. I reconsider the "bad beta, good beta" ICAPM proposed by Campbell and Vuolteenaho and I point out that the explanatory power of the model depends on including the stock market crash that opened the Great Depression. When using a Markov-switching VAR, a 30s regime is identi ed. This regime receives a large weight when forming expectations consistent with the ICAPM. The ICAPM delivers excellent results when investors distinguish between an highand a low-uncertainty regime.
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