TY  - JOUR
AU  - Campbell,John
AU  - Mei,Jianping
TI  - Where do Betas Come From?  Asset Price Dynamics and the Sources of Systematic Risk
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4329
PY  - 1993
Y2  - April 1993
UR  - http://www.nber.org/papers/w4329
L1  - http://www.nber.org/papers/w4329.pdf
N1  - Author contact info:
John Y. Campbell
Morton L. and Carole S.
Olshan Professor of Economics
Department of Economics
Harvard University
Littauer Center 213
Cambridge, MA 02138
Tel: 617/496-6448
Fax: 617/495-7730
E-Mail: john_campbell@harvard.edu

Jianping Mei
Stern School of Business
Henery Kaufman Management Center
New York University
44 W 4th Street, 7-69
New York, NY 10012
Tel: 212/998-0354
Fax: 212/995-4221
E-Mail: jmei@stern.nyu.edu
AB  - This paper breaks assets' betas with common factors into components attributable to news about future cash flows, real interest rates, and excess returns. To achieve this decomposition the paper uses 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. The paper also shows how asset pricing theory restricts the expected excess return components of betas.
ER  -