This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six...

Beta is the central concept in the CAPM model. If betas vary considerably across time, the CAPM model’s explanatory power would be undermined. The objective of the study is to test the stationarity of beta for automotive and auto-ancillary sector stocks in different market regimes in Indian...

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...