Explanations for the Instability of Equity Beta: Risk-Free Rate Changes and Leverage Effects
结合期权定价模型和资本资产定价模型，研究杠杆和无风险利率意外变化如何影响权益贝塔的不稳定性，发现高杠杆公司贝塔更不稳定，且无风险利率大幅意外变化时期贝塔更不稳定。
This paper is an initial attempt to bridge the gap that presently exists between the theoretical and empirical literature on the instability of equity beta. We focus on two factors from the joint Option Pricing Model/Capital Asset Pricing Model framework—leverage and unexpected changes in the risk-free rate—which are hypothesized to influence the instability of equity beta across firms and over time. Using alternative variable parameter regression models, we find that highly leveraged firms exhibit greater equity beta instability than firms with lower leverage. Over time, equity betas exhibit greater instability during periods of large unexpected changes in the risk-free rate when compared to periods with small unexpected changes in the risk-free rate.