• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Aggregate volatility expectations and threshold CAPM

      Thumbnail
      View / Download
      833.9 Kb
      Author(s)
      Arisoy, Y. E.
      Altay-Salih, A.
      Akdeniz, L.
      Date
      2015
      Source Title
      North American Journal of Economics and Finance
      Print ISSN
      1062-9408
      Publisher
      Elsevier Inc.
      Volume
      34
      Pages
      231 - 253
      Language
      English
      Type
      Article
      Item Usage Stats
      204
      views
      224
      downloads
      Abstract
      We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility. Using a novel measure to proxy uncertainty about expected changes in aggregate volatility, i.e. monthly range of the VIX index (RVIX), we find that portfolio betas change significantly when uncertainty about aggregate volatility expectations is beyond a certain threshold level. Due to changes in their market betas, small and value stocks are perceived as riskier than their big and growth counterparts in bad times, when uncertainty about aggregate volatility expectations is high. The proposed model yields a positive and significant market risk premium during periods when investors do not expect significant uncertainty in near-term aggregate volatility. Our findings support a volatility-based time-varying risk explanation.
      Keywords
      Aggregate volatility
      Conditional CAPM
      Range
      Threshold regression
      VIX
      Permalink
      http://hdl.handle.net/11693/26652
      Published Version (Please cite this version)
      http://dx.doi.org/10.1016/j.najef.2015.09.013
      Collections
      • Department of Management 639
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCoursesThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCourses

      My Account

      Login

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 2976
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy