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SUMMARY:Non-Myopic Betas
DTSTART:20151106T103000
DTEND:20151106T120000
DTSTAMP:20260408T050341Z
UID:304b02a80b4a7b60e32055180378b1135df429d65fa38ed3a06236bf
CATEGORIES:Conferences - Seminars
DESCRIPTION:Grigory VILKOV (Frankfurt School of Finance & Management)\nWe 
 introduce non-myopic mean-variance optimizing agents into the standard con
 ditional CAPM. In equilibrium\, the inter-temporal hedging demand of non-m
 yopic investors leads to a two-factor CAPM in which risk premiums are dete
 rmined both by the market portfolio beta (the myopic beta) and by the non-
 myopic beta of returns with respect to the future return on the mean-varia
 nce efficient portfolio. We show empirically that the new risk factor is p
 riced in the cross-section of stock returns\, and the link between expecte
 d returns and non-myopic betas is monotonically increasing. The model make
 s several predictions about equilibrium beta dynamics that are confirmed b
 y the data. Using a cross-section of mutual fund returns\, we find that th
 eir non-myopic betas explain a significant part of the variation in mutual
  fund alphas\, suggesting that non-myopic behavior is an important compone
 nt of alpha generation.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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