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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
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Time-Varying Beta in Functional Factor Models: Evidence from China
SSRN Electronic Journal, 2019 Abstract In this paper, we introduce a functional method to investigate how betas change over time in 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-varying betas directly from the functional data regression. The empirical results show that exposures to all
Lajos Horváth +3 more
semanticscholar +4 more sources
Trading Volume and Time Varying Betas [PDF]
Review of Finance, 2021 Abstract I show that increased turnover accompanies changes in stocks’ risk exposures. A one standard deviation decrease in a stock’s market beta increases turnover as much as 25%. The sensitivity of turnover to beta changes has grown over time.
Christopher M. Hrdlicka
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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, DIECI, ROBERTO, X. Z. He
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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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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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A Selectivity Corrected Time Varying Beta Estimator
SSRN Electronic Journal, 2006 This paper explores two issues in beta estimation, specifically, time variation and thin trading. In a multivariate GARCH approach, the paper conducts an analysis of the importance of assumptions made about the correlation structure in the multivariate GARCH model.
Robert Brooks +3 more
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Time-Varying Betas of German Stock Returns
Financial Markets and Portfolio Management, 2005 The market model assumes stock returns to be a linear function of the market return. However, there is considerable evidence that the beta stability assumption commonly used when estimating the market model is invalid. In this paper we account for beta instability in German stock returns by allowing the coefficients to vary over time in estimation. For
Markus Ebner, Thorsten Neumann
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Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas [PDF]
Journal of Forecasting, 2016 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
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