Compounding Loss from High Beta?
February 19, 2013 - Volatility Effects
How does volatility interact with market beta? In his 2012 paper entitled “Volatility and Compounding Effects on Beta and Returns”, William Trainor investigates the performance of stocks sorted on market beta overall and during intervals of low and high market volatility. He considers both ideal (theoretical) betas and betas estimated from lagged returns. He defines low… Keep Reading