Agency-Based Asset Pricing and the Beta Anomaly
- 1 January 2012
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock returns to become flat, instead of linearlyKeywords
This publication has 43 references indexed in Scilit:
- Low Risk Stocks Outperform within All Observable Markets of the WorldSSRN Electronic Journal, 2012
- Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility AnomalyCFA Magazine, 2011
- Stocks as Lotteries: The Implications of Probability Weighting for Security PricesAmerican Economic Review, 2008
- Optimal Decentralized Investment ManagementThe Journal of Finance, 2008
- The Cross‐Section of Volatility and Expected ReturnsThe Journal of Finance, 2006
- Beta and ReturnThe Journal of Portfolio Management, 1993
- Asset Prices under Habit Formation and Catching up with the JonesesPublished by National Bureau of Economic Research ,1990
- The relationship between return and market value of common stocksJournal of Financial Economics, 1981
- Capital market equilibrium in a mean-lower partial moment frameworkJournal of Financial Economics, 1977
- Capital Market Equilibrium with Restricted BorrowingThe Journal of Business, 1972