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Article
Time Varying CAPM Betas and Banking Sector Risk
Economics Letters
  • Tony Caporale, University of Dayton
Document Type
Article
Publication Date
5-1-2012
Abstract
This paper employs the Bai and Perron, 1998 and Bai and Perron, 2003 structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02–2008.01) sample. The third break corresponds with a decline in the perceived riskiness of banking stocks in the period starting in 2000.04. The banking sector was thus priced to be less risky during the period associated with rising leverage and financial sector risk.
Inclusive pages
293–295
ISBN/ISSN
0165-1765
Comments

Permission documentation is on file.

Publisher
Elsevier
Peer Reviewed
Yes
Citation Information
Tony Caporale. "Time Varying CAPM Betas and Banking Sector Risk" Economics Letters Vol. 115 Iss. 2 (2012)
Available at: http://works.bepress.com/tony_caporale/36/