Beta dispersion and market timing

Arbeitspapier

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US equity market, the study develops measures to predict future market returns. These dispersion measures have substantial predictive power for future market movements. Moreover, I show that the informational content of beta dispersion can be successfully exploited by market timing strategies with the help of distributional regressions. This is an innovative application of this novel way of modeling the relationship between multiple variables and appears to be quite useful for timing strategies.

Angaben zum Objekt

• ISBN: 978-3-95729-756-3
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Deutsche Bundesbank Discussion Paper ; No. 46/2020

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; Financial Forecasting and Simulation
• Thema: beta dispersion ; market return predictability ; systematic risk ; predictice regression ; distributional regression ; market timing ; investment stragies

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kuntz, Laura-Chloé
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/223251
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ