@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",

}