Market Beta is not dead: An approach from Random Matrix Theory

被引：0

作者：

Molero-Gonzalez, L. ^{[1
]}

Trinidad-Segovia, J. E. ^{[1
]}

Sanchez-Granero, M. A. ^{[2
]}

Garcia-Medina, A. ^{[3
,4
]}

机构：

[1] Univ Almeria, Dept Econ & Business, Almeria 04120, Spain

[2] Univ Almeria, Dept Math, Almeria 04120, Spain

[3] Ctr Res Math, Unidad Monterrey, Apodaca 66628, Mexico

[4] Consejo Nacl Ciencia & Technol, Av Insurgentes Sur 1582, Mexico City 03940, Mexico

来源：

FINANCE RESEARCH LETTERS | 2023年 / 55卷

关键词：

APT; RMT; CAPM; Beta; CROSS-SECTION; RISK; MODEL; EQUILIBRIUM; RETURN; SIZE; FAMA;

D O I：

10.1016/j.frl.2023.103816

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the 1980s, the first doubts about the validity of the Sharpe Single Index Model to explain the cross-sectional expected returns of financial assets appeared. Since then, the financial literature has proposed a wide variety of new factors, while many empirical studies have tried to determine their plausibility. In this paper, we present a new approach from the Random Matrix Theory to determine if the Arbitrage Pricing Theory models are better than the Sharpe Model to explain the cross-sectional expected returns. We will show that, except for periods of high volatility, just one factor is significant in the sample. We will also prove that this factor is the Market one.

引用

页数：7

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