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TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM [PDF]
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: 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
semanticscholar +7 more sources
TIME-VARYING BETA AND VOLATILITY IN THE KUALA LUMPUR STOCK EXCHANGE
Gadjah Mada International Journal of Business, 2004 The paper analyzes the relationship between beta risk and aggregate market volatility for 12sized-based portfolios for the case of Malaysia using daily data from January 1988 to December 2000.
Mansor Ibrahim
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Time-Varying Beta in Functional Factor Models: Evidence from China [PDF]
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
Zhenya Liu +4 more
semanticscholar +7 more sources
Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta [PDF]
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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Entropy-based financial asset pricing. [PDF]
PLoS ONE, 2014 We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model.
Mihály Ormos, Dávid Zibriczky
doaj +5 more sources
Integrating fMRI spatial network dynamics and EEG spectral power: insights into resting state connectivity [PDF]
Frontiers in NeuroscienceIntroductionThe Integration of functional magnetic resonance imaging (fMRI) and electroencephalography (EEG) has allowed for a novel exploration of the brain’s spatial–temporal resolution.
Souvik Phadikar +3 more
doaj +2 more sources
Conditional risk–return relationship in a time-varying beta model [PDF]
Quantitative Finance, 2008 We investigate the asymmetric risk–return relationship in a time-varying beta CAPM. A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch. Using S&P 500 daily data from 1987:11–2003:12, we find a positive risk–return relationship in the up market (positive market excess returns) and
Peng Huang, C. James Hueng
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Time-varying market beta: does the estimation methodology matter? [PDF]
SORT- Statistics and Operations Research Transactions, 2014 This paper compares the performance of nine time-varying beta estimates taken from three different methodologies never previously compared: least-square estimators including nonparametric weights, GARCH-based estimators and Kalman filter estimators. The analysis is applied to the Mexican stock market (2003-2009) because of the high dispersion in betas.
Nieto, Belén +2 more
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Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland [PDF]
, 2017 This paper empirically investigates various approaches to model time-varying systematic risk on the Polish capital market. A plenty of methods is examined in the developed markets and the Kalman filter approach is usually indicated as the best method for
Będowska-Sójka, Barbara
core +3 more sources