Structural Analysis of Portfolio Risk Using Beta Impulse Response Functions
نویسندگان
چکیده
We estimate the data generating process of daily excess returns of 20 major Ger-man stocks in a CAPM framework with time varying betas. Our sample spans a 23 year period from 1974 to 1996. An asymmetric dependence of volatility on lagged innovations is taken into account. We introduce beta impulse response functions to shed light on the structural implications of systematic risk associated with competing volatility models. The dependence of beta on news is characterized with respect to diierent sources (asset speciic vs. market general news). The empirical results suggest that negative news emerging from the market involve a stronger impact on beta relative to positive news. Concerning rm speciic news the opposite relation is found for the majority of the analysed data sets. support by the Deutsche Forschungsgemeinschaft is gratefully acknowledged. We thank two anonymous referees and Rolf Tsch-ernig for helpful suggestions.
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