Results 11 to 20 of about 1,409,636 (274)
Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM [PDF]
SSRN Electronic Journal, 2003 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.
Adrian,Tobias, Franzoni, Francesco
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Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold [PDF]
Mathematics, 2021 This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the previous approaches, we introduce
Mehmet Balcilar +2 more
doaj +2 more sources
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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Trading Volume and Time Varying Betas [PDF]
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.
Christopher M. Hrdlicka
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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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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
semanticscholar +3 more sources
THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST
Süleyman Demirel Üniversitesi Vizyoner Dergisi, 2020 The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and two-year benchmark bond interest rate between January 2009 and September 2019, the time-varying beta coefficient is determined with DECO ...
Hüseyin KESKİN, İsmail ÇELİK
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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.
Πέτρος Μεσσής
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Asymptotics of Cholesky GARCH models and time-varying conditional betas [PDF]
Journal of Econometrics, 2018 This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a Cholesky-GARCH model, based on the Cholesky decomposition of the conditional variance matrix introduced by Pourahmadi (1999) in the context of longitudinal data.
Darolles, Serge +2 more
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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
doaj +2 more sources