The changing sensitivity of realized portfolio betas to U.S. output growth: an analysis based on real-time data

Renatas Kizys, C. Pierdzioch

Research output: Contribution to journalArticlepeer-review

Abstract

Our results shed light on the sensitivity of the betas of portfolios formed on market capitalization (“size”) and book-to-market value (“value”) to output growth in the United States. We estimate a state space model to analyze the sensitivity of portfolio betas to output growth. We measure output growth using real-time and revised data. Output growth has a significant effect on portfolio betas when size and value are high. Such portfolio betas exhibit countercyclical dynamics. They are more sensitive, in absolute terms, to output growth when the latter is measured using real-time data. Their sensitivity to output growth has grown over time. Portfolio betas with respect to output growth have become smaller over time, in contrast, when size is large but value is low.
Original languageEnglish
Pages (from-to)168-186
Number of pages19
JournalJournal of Economics and Business
Volume63
Issue number3
DOIs
Publication statusPublished - 2011

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