Eric Hillebrand

The dynamics of factor loadings in the cross-section of returns

Publikation: Working paperForskning

Dokumenter

  • rp18_38

    Forlagets udgivne version, 1,27 MB, PDF-dokument

  • Riccardo Borghi, Cass Business School, Storbritannien
  • Eric Hillebrand
  • Jakob Mikkelsen, Danmarks Nationalbank, Danmark
  • Giovanni Urga, Cass Business School, Storbritannien
In this paper, we propose a two-level factor model with time-varying loadings to investigate the dynamics of factor betas in the cross-section of returns of a large portfolio of 1815 firms from 54 countries over the period 2006-2016. The model contains a global observed financial factor and unobserved global and regional factors consistently estimated via principal component. When unexpected events happen globally, loadings on global factors increase. The dynamics of the global factor loadings is related to the profile of the firm. Loadings persistence is decreasing in firm size and expected returns are increasing in the variance of the loading.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider50
StatusUdgivet - 20 dec. 2018
SerietitelCREATES Research Papers
Nummer2018-38

    Forskningsområder

  • High-dimensional factor models, financial, global and regional risk factors, time-varying loadings, systematic risk

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