Mathematical Finance Colloquium: All Betas Are Not the Same
About this Event
3620 South Vermont Avenue, Los Angeles, CA 90089
Harin de Silva, AJO Vista [in-person]
Title: All Betas Are Not the Same
Abstract: This study revisits the beta anomaly by decomposing beta into two components: industry-related and stock-specific. Both components reduce portfolio volatility when used to lower beta exposure; however, only the stock-specific (residual) component is associated with a meaningful return premium. In contrast, the industry component, while effective for risk reduction, offers little or no compensation in terms of excess return. This distinction refines our understanding of beta as a risk factor and offers practical implications for asset pricing and portfolio construction. The results highlight the value of disentangling systematic risk into its underlying sources to more effectively interpret and exploit the low beta anomaly.
Join Zoom Meeting:
https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYyNSt6UT09
Meeting ID: 949 7361 9069
Passcode: 925028
This program is open to all eligible individuals. USC operates all of its programs and activities consistent with the university’s Notice of Non-Discrimination. Eligibility is not determined based on race, sex, ethnicity, sexual orientation or any other prohibited factor.