@techreport{f39903b5ab514d8c950437ef0f0efd95,
title = "Beta Risk in the Cross-section of Stocks and Options",
abstract = "In order to study beta risk, we develop a multivariate stochastic volatility model in which individual equity and market returns co-vary stochastically. In the model, the stochastic covariance matrix of an individual equity return with the market follows a bivariate Wishart process and the associated beta risk is priced. We estimate the model on returns and options jointly for a large cross-section of stocks. When analyzing the model{\'i}s empirical performance, we {\"O}nd that it outperforms the standard rolling regression approach that is prevalent in empirical asset pricing.",
keywords = "Factor models, Stochastic beta, Option-implied beta, Wishart processes, Factor models, Stochastic beta, Option-implied beta, Wishart processes",
author = "Ali Boloorforoosh and Peter Christoffersen and Mathieu Fournier and Christian Gourieroux",
year = "2016",
month = oct,
language = "English",
series = "IFSID Working Paper",
publisher = "Institut de la Finance Structur{\'e}e et des Instruments D{\'e}riv{\'e}s de Montr{\'e}al",
number = "16-09",
address = "Canada",
type = "WorkingPaper",
institution = "Institut de la Finance Structur{\'e}e et des Instruments D{\'e}riv{\'e}s de Montr{\'e}al",
}