Beta bubbles

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en
dc.contributor.author Jylhä, Petri
dc.contributor.author Suominen, Matti
dc.contributor.author Tomunen, Tuomas
dc.date.accessioned 2018-12-21T10:32:28Z
dc.date.available 2018-12-21T10:32:28Z
dc.date.issued 2018-06
dc.identifier.citation Jylhä , P , Suominen , M & Tomunen , T 2018 , ' Beta bubbles ' , Review of Asset Pricing Studies , vol. 8 , no. 1 , pp. 1–35 . https://doi.org/10.1093/rapstu/rax014 en
dc.identifier.issn 2045-9920
dc.identifier.issn 2045-9939
dc.identifier.other PURE UUID: a91362df-e921-4958-bd4e-4862888d73b5
dc.identifier.other PURE ITEMURL: https://research.aalto.fi/en/publications/beta-bubbles(a91362df-e921-4958-bd4e-4862888d73b5).html
dc.identifier.other PURE FILEURL: https://research.aalto.fi/files/27477388/BetaBubbles.pdf
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/35696
dc.description.abstract We show that an increase in a stock’s breadth of institutional ownership or turnover is followed by a significant, but temporary, increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on beta estimates is mainly driven by short-term investors. These transitory trading-activity-driven components of beta estimates contribute to the empirical failure of the CAPM and the large returns to long-short portfolios that bet against beta. Relations between ownership breadth, turnover, and betas, which we document, help explain the puzzling fact that, on average, betas increase after seasoned equity offerings and stock splits and decrease after stock repurchases. en
dc.format.extent 1–35
dc.format.mimetype application/pdf
dc.language.iso en en
dc.relation.ispartofseries Review of Asset Pricing Studies en
dc.relation.ispartofseries Volume 8, issue 1 en
dc.rights openAccess en
dc.subject.other 512 Business and management en
dc.title Beta bubbles en
dc.type A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä fi
dc.description.version Peer reviewed en
dc.contributor.department Department of Finance
dc.contributor.department Columbia University
dc.subject.keyword 512 Business and management
dc.identifier.urn URN:NBN:fi:aalto-201812216705
dc.identifier.doi 10.1093/rapstu/rax014
dc.date.embargo info:eu-repo/date/embargoEnd/2019-04-11


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