Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk

  • William N. Goetzmann, Akiko Watanabe, +5 authors Bradley Paye
  • Published 2007

Abstract

This paper examines the pricing implications of time-variation in assets’ market betas over the business cycle in a conditional CAPM framework. We use a half century of real GDP growth expectations from economists’ surveys to determine forecasted economic states. This approach largely avoids the confounding effects of econometric forecasting model error… (More)

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Cite this paper

@inproceedings{Goetzmann2007InvestorEB, title={Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk}, author={William N. Goetzmann and Akiko Watanabe and Masahiro Watanabe and Francis X. Diebold and Gustavo Grullon and Isao Ishida and Barbara Ostdiek and Bradley Paye}, year={2007} }