EBSLG

 

 
European Business Schools Librarian's Group
Home About Series Subject/JEL codes Advanced Search
HEC Paris. Research Department Les Cahiers de Recherche - HEC Paris
 

No 829:
Where is beta going ? the riskiness of value and small stocks

Francesco Franzoni ()

Abstract: This paper finds that the market betas of value and small stocks have decreased by about 75% in the second half of the twentieth century. The decline in beta can be related to a long-term improvement in economic conditions that made these companies less risky.

Keywords: value; stocks; beta; risk; financial market; (follow links to similar papers)

JEL-Codes: D40; G10; (follow links to similar papers)

60 pages, January 9, 2006

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

b4526f9b96ee7c827893247d6fb37246.pdf    PDF-file
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Sandra Dupouy ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design Joakim Ekebom

Handle: RePEc:ebg:heccah:0829 This page was generated on 2014-12-14 17:56:20