Abstract

In an article that recently appeared in this journal, Marshall (2015) argued that the systematic component of the SD of a stock or of a portfolio of stocks is its beta scaled by the SD of the market returns. She also contended that the beta mispredicts the actual systematic risk of a stock or of a portfolio of stocks. In this article, I dispute this conclusion, showing that it has been induced by an imperfection in the construction of the empirical application and by some misinterpretations of the results. A corrected replication of the empirical study of Marshall (2015) is provided, along with some comments. I conclude that both the beta and the systematic component inMarshall (2015) are effective measures of systematic risk.

Autore Pugliese

• Pizzutilo Fabio

Tutti gli autori

• PIZZUTILO F.

Titolo volume/Rivista

Non Disponibile

Anno di pubblicazione

2015

ISSN

0003-6846

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

Non Disponibile

Numero di citazioni Scopus

1

Ultimo Aggiornamento Citazioni

Non Disponibile

Settori ERC

Non Disponibile

Codici ASJC

Non Disponibile