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Hierarchical time varying estimation of a multi factor asset pricing model
Baillie, Richard; Calonaci, Fabio; Kapetanios, George - 2019
This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...
Persistent link: https://www.econbiz.de/10011960113
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The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020
Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60
estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and …
Persistent link: https://www.econbiz.de/10013334984
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CAPM : A Covariance Adjustment Approach for Estimating Market Beta
Kolari, James W. - 2016
Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is … traditional market beta. We conclude that observed market beta provides renewed empirical support for CAPM theory …
Persistent link: https://www.econbiz.de/10012997002
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Estimating Beta When the CAPM Is True
Ferguson, Robert - 2017
Perhaps the most frequently used estimator of the Capital Asset Pricing Model beta in finance is the Ordinary Least Squares estimate, obtained by regressing excess security return against excess market return, with an intercept. This paper shows that the Ordinary Least Squares estimator is...
Persistent link: https://www.econbiz.de/10012953579
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Estimating the Assets-in-Place Beta : A Feedback Algorithm
Andrés, Pablo de - 2010
Based on the linear decomposition of a firm's beta on the betas of its growth options and its Assets in Place, we propose a feedback algorithm to estimate the latter. Our proposal is founded on the existence of risk classes defined by a specific level of systematic risk for current business and...
Persistent link: https://www.econbiz.de/10013152718
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Estimating Beta
Hollstein, Fabian - 2017
We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several …
Persistent link: https://www.econbiz.de/10012972381
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Biases in CAPM Beta Estimation
Chen, Linda H. - 2018
In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression … setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily … strong exogeneity conditions. As such, the OLS estimator of CAPM beta is likely biased. Based on the empirical patterns of …
Persistent link: https://www.econbiz.de/10012935615
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Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …
Persistent link: https://www.econbiz.de/10014333333
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10009665551
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Implied Basket Correlation Dynamics
Härdle, Wolfgang - 2016
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10012999402