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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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Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification
Antypas, Antonios - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012857914
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Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...
Persistent link: https://www.econbiz.de/10012138849
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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
traditional market beta. We conclude that observed market beta provides renewed empirical support for CAPM theory …Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is …
Persistent link: https://www.econbiz.de/10012997002
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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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Two-pass tests of asset pricing models with useless factors
Kan, Raymond; Zhang, Chu - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 203-235
Persistent link: https://www.econbiz.de/10001355207