tailieunhanh - The low beta anomaly and estimation interval

The purpose of this study was to assess the nature of the relationship between equity beta, and post-estimation return. Specifically, this study sought to address the validity and persistence of the low-beta anomaly across multiple beta estimation intervals. | http afr. Accounting and Finance Research Vol. 8 No. 1 2019 The Low Beta Anomaly and Estimation Interval Brandon K. Renfro1 1 Fred Hale School of Business East Texas Baptist University Marshall TX USA Correspondence Brandon K. Renfro Fred Hale School of Business East Texas Baptist University Marshall TX USA. E-mail brenfro@ Received January 30 2019 Accepted February 14 2019 Online Published February 18 2019 doi URL https Abstract The purpose of this study was to assess the nature of the relationship between equity beta and post-estimation return. Specifically this study sought to address the validity and persistence of the low-beta anomaly across multiple beta estimation intervals. Within the twenty-year sample period from January of 1994 to December of 2013 this research covered ten different beta estimation intervals to determine whether a statistically significant and theoretically consistent relationship existed between equity beta and post-estimation realized return. This research provided two basic conclusions First the low-beta anomaly is not robust across multiple beta estimation intervals. Second with any test of the relationship between beta and return the choice of beta estimation interval matters. Different estimation intervals sometimes provide contradictory empirical results for the same period. Keywords low-beta anomaly capital asset pricing model 1. Introduction Investment selection and the assessment of risk are important concepts to finance academics investment professionals and the investing public. The Capital Asset Pricing Model has long been the gold-standard theoretical tool for determining asset prices in academic research as well as for industry professionals in security markets Shefrin 2001 Clarke De Silva Thorley 2006 . The core tenet of the Capital Asset Pricing Model is that a security s return is a function of its exposure to market risk with expected return .