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Title:	Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
Author:	Campbell, John Y.; Mei, Jianping Note: Order does not necessarily reflect citation order of authors.
Citation:	Campbell, John Y., and Jianping Mei. 1993. Where do betas come from? Asset price dynamics and the sources of systematic risk. Review of Financial Studies 6(3): 567-592.
Full Text & Related Files:	campbell_wheredobetas.pdf (1.950Mb; PDF)
Abstract:	In this article we break asset's betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. We also show how asset pricing theory restricts the expected excess return components of betas.
Published Version:	http://dx.doi.org/10.1093/rfs/6.3.567
Terms of Use:	This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page:	http://nrs.harvard.edu/urn-3:HUL.InstRepos:3353757

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  Peer reviewed scholarly articles from the Faculty of Arts and Sciences of Harvard University

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