Timeline for In the "betting against beta" paper, what exactly is the "BAB factor"?
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Jun 5, 2018 at 17:45 | comment | added | Matthew Gunn | You would have $\beta_j = 3 \beta_i$. If you $3\times$ leverage something, you're $3\times$ your covariances and $3\times$ your betas (whether they're market betas or something else). | |
| Jun 5, 2018 at 17:40 | answer | added | Matthew Gunn | timeline score: 5 | |
| Jun 5, 2018 at 17:38 | comment | added | Donatello | ........not sure ..................... | |
| Jun 5, 2018 at 17:27 | comment | added | Matthew Gunn | Let's say you have a return such that $R_i - R_f = \alpha_i + \beta_i \left( R_m - R_f \right) + \epsilon_i$. Now imagine you have a return $R_j = 3 R_i - 2 R_f$. Is this a return? If so, what is the market beta for $R_j$? | |
| Jun 5, 2018 at 17:05 | history | asked | Donatello | CC BY-SA 4.0 |