Where Do Betas Come From? Asset Price Dynamics and the Sources of Systematic Risk
利用向量自回归模型和对数线性现值关系，将资产贝塔分解为未来现金流、实际利率和超额收益新闻的组成部分，发现行业和规模组合的市场贝塔主要源于预期收益变化。
In this article we break assets’ betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition, we use a vector autoregressive time-series model and an approximate log-linear present value relation. The betas of industry and size portfolios with the market are largely attributed to changing expected returns. Betas with inflation and industrial production reflect opposing cash flow and expected return effects. We also show how asset pricing theory restricts the expected excess return components of betas.