Les Cahiers de Recherche - HEC Paris
Where is beta going ? the riskiness of value and small stocks
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
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Design Joakim Ekebom