Results 1 to 10 of about 70 (65)
Time-Varying Beta: A Boundedly Rational Equilibrium Approach [PDF]
Journal of Evolutionary Economics, 2010 By taking into account conditional expectations and the dependence of the systematic risk of asset returns on micro- and macro-economic factors, the conditional CAPM with time-varying betas displays superiority in explaining the cross-section of returns and anomalies in a number of empirical studies.
C. Chiarella, DIECI, ROBERTO, X. Z. He
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Time-Varying Betas Help in Asset Pricing: The Threshold CAPM [PDF]
Studies in Nonlinear Dynamics & Econometrics, 2003 University of Pittsburgh, Department of Economics, caner@pitt.eduStudies in Nonlinear Dynamics & Econometrics is produced by The Berkeley ElectronicPress (bepress). http://www.bepress.com/sndeCopyright c 2003 by the authors.All rights reserved. No part of this publication may be reproduced, stored in a retrievalsystem, or transmitted, in any form or by
Akdeniz L., Altay-Salih, A., Caner, M.
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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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Asset pricing and prediction with time-varying betas [PDF]
, 2021 Η θεωρία της αποτίμησης των περιουσιακών στοιχείων βασίζεται σε μεγάλο βαθμό στις αρχές του υπολογισμού της παρούσας αξίας και της υπόθεσης των αποτελεσματικών αγορών. Το πρώτο σημαίνει ότι η τιμή ενός περιουσιακού στοιχείου, όχι απαραίτητα μετοχής, είναι συνάρτηση των αναμενόμενων μελλοντικών αποδόσεων προεξοφλημένων στα τρέχοντα δεδομένα.
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TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM
Journal of Management and Business, 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 positive affect of return toward risk on single and multiperiods.
Rachmat Sudarsono +3 more
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Asymptotics of Cholesky GARCH models and time-varying conditional betas [PDF]
Journal of Econometrics, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Darolles, Serge +2 more
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Time varying betas and the unconditional distribution of asset returns [PDF]
Quantitative Finance, 2012 This paper draws attention to the fact that under standard assumptions the time varying betas model cannot capture the dynamics in beta. Conversely, evidence of time variation in beta using this model is equivalent to non-normality in the unconditional distribution of asset returns. Using the multivariate normal as a model for the joint distribution of
Adcock, C. J. +3 more
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Trading Volume and Time Varying Betas
Review of Finance, 2013 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.
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Stock price reaction to profit warnings: the role of time-varying betas [PDF]
Review of Quantitative Finance and Accounting, 2017 © 2017 The Author(s)This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange.
Yin, S. +3 more
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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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