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Time-Varying Beta in Functional Factor Models: Evidence from China
SSRN Electronic Journal, 2019 In this paper, we introduce the functional analysis method to investigate how betas change over time in the factor models. Based on the China A-share data, we drop the constant beta assumption in the CAPM and multi-factor models to estimate the time ...
Lajos Horváth +3 more
semanticscholar +4 more sources
Constant vs. Time-Varying Beta Models: Further Forecast Evaluation
SSRN Electronic Journal, 2010 Recent advances in the measurement of beta (systematic return risk) and volatility (total return risk), demonstrate substantial advantages in utilizing high frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in the evaluation of alternate beta and volatility forecasting
Jonathan J. Reeves, Haifeng Wu
semanticscholar +3 more sources
Time-varying beta: a boundedly rational equilibrium approach [PDF]
SSRN Electronic Journal, 2010 The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic behaviour of betas through agents’ behaviour, such as momentum ...
C. Chiarella, R. Dieci, Xue-zhong He
semanticscholar +3 more sources
Time-varying beta, market volatility and stress: A comparison between the United States and India
IIMB Management Review, 2021 This study examines the time-varying nature of industry betas in India and the United States to explore whether their observed behaviours are independent of the extent of development of the financial market.
Gagari Chakrabarti, Ria Das
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TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM
Manajemen dan Bisnis, 2012 Dual beta became a debate between researchers in finance especially investment and portfolio. This research test CAPM using dual beta predictions in conditional market timing. The research tested unconditional and conditional Beta, that showed linear and
Rachmat Sudarsono +3 more
doaj +2 more sources
Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market [PDF]
Journal of Applied Mathematics, 2013 This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS
Rongquan Bai, Zuoquan Zhang, Menggang Li
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Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta
Ekonometria, 2019 The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock's returns are regressed against the returns of a broader index.
Piotr Szczepocki
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Effects of time-varying $$\beta $$ β in SNLS3 on constraining interacting dark energy models [PDF]
, 2014 It has been found that, for the Supernova Legacy Survey three-year (SNLS3) data, there is strong evidence for the redshift evolution of the color–luminosity parameter $$\beta $$β.
Shuang Wang +3 more
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Time-Varying Volatility of Bank Betas [PDF]
Research has shown banks match interest income and expense betas, and thereby obtain net interest income margins which are insensitive to changes in short-term interest rates. The present analysis extends this research in a number of ways. First, we use state-space methods to estimate time-varying betas and test whether they are matched at each time ...
Matthew Brigida
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Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas [PDF]
Journal of Forecasting, 2014 This paper investigates the implications of time‐varying betas in factor models for stock returns. It is shown that a single‐factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT‐AR) is capable of reproducing the most important stylized facts of stock returns.
Phoebe Koundouri +3 more
openalex +4 more sources