Arbeitspapier
Asset pricing with uncertain betas: A long-term perspective
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that its term structure is not constant and that, for short maturities, it equals the expected beta. If the expected beta is larger than a threshold (which is negative and large in absolute value in all realistic calibrations), the term structure of the certainty equivalent beta is increasing and tends to its largest plausible value. If current beliefs concerning the asset's beta are represented by a normal distribution, the certainty equivalent beta becomes infinite for finite maturities.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 4072
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Interest Rates: Determination, Term Structure, and Effects
Climate; Natural Disasters and Their Management; Global Warming
- Thema
-
asset prices
term structure
risk premium
certainty equivalent beta
Projektbewertung
Capital Asset Pricing Model
Laufzeit
Beta-Faktor
Risikoprämie
Zinsstruktur
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gollier, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Gollier, Christian
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2013
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