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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Asset pricing and prediction with time-varying betas [PDF]
, 2015 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.
Πέτρος Μεσσής
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Extracting Statistical Factors When Betas are Time-Varying
SSRN Electronic Journal, 2019 This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual characteristics.
Patrick Gagliardini, Hao Ma
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Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques [PDF]
, 1998 Robert Brooks +2 more
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Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM [PDF]
SSRN Electronic Journal, 2008 Abstract We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally “learn” the long-run level of factor loadings from the observation of realized returns. As a consequence of this assumption, we model conditional betas using the Kalman filter.
Tobias Adrian, Francesco A. Franzoni
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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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Time-Varying Leverage Demand and Predictability of Betting-Against-Beta
SSRN Electronic Journal, 2018 The leverage aversion theory implies that returns to the betting-against-beta (BAB) strategy are predictable by past market returns: An outward shift in investors' aggregate demand function simultaneously increases market prices and increases the expected future BAB return.
Esben Hedegaard
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Estimating Time-Varying Beta-Coefficients: An Empirical Study of US & ASEAN Portfolios
, 2015 Jordan French
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Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland
, 2017 Barbara Będowska-Sójka
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Building a Beta‐Lactam Model‐Informed Precision Dosing Service in a Quaternary Care Children's Hospital [PDF]
Clinical and Translational ScienceThere has been growing interest in precision dosing of beta‐lactam antibiotics in recent years. At our institution, a quaternary children's hospital, we launched a new PK consult service utilizing a model‐informed precision dosing (MIPD) approach to ...
Sonya Tang Girdwood +12 more
doaj +2 more sources