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Time-varying estimates of CAPM betas
Mathematics and Computers in Simulation, 1999Abstract It is well known that the CAPM beta is not stable over time. We investigate the nature of the time-variation in betas using monthly Australian data from 1979 to 1994 for 23 sectors. We discuss beta estimates for sub-periods and tests of the statistical adequacy of the market model used to estimate the betas.
Nicolaas Groenewold, Patricia Fraser
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A time-varying perspective on the CAPM and downside betas
International Review of Economics & Finance, 2014Abstract In the current study, we focus on the capital asset pricing model (CAPM) beta and downside betas. The empirical results of market index returns in the international samples of 23 developed countries exhibit significant differences between the CAPM and downside betas, indicating that these models capture distinct risks.
Tsai, Hsiu-Jung +2 more
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Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques
Journal of Business Finance & Accounting, 2000This paper investigates the performance of three different approaches to modelling time‐variation in conditional asset betas: GARCH models, the extended market model of Schwert and Seguin (1990) and the Kalman Filter algorithm. Using daily UK industry returns, we find the simple market model beta to be as efficient as the more complicated GARCH type ...
Faff, Robert W. +2 more
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September 11 and Time-Varying Beta of United States Companies
Applied Financial Economics, 2003 The tragic events of September 11, 2001 in the United States is said to have adversely affected the global economy and the financial markets around the world. This paper empirically investigates the effects of the terrorist attacks and the period after on the time-varying beta (risk) of a few companies in the United States. Daily data from 1991 to 2002
Taufiq Choudhry
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Time‐varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis
Journal of Business Finance & Accounting, 1998The central focus of this paper is to provide an initial exploratory examination of ex post time‐varying beta estimation, modeling and asset pricing tests. In particular, these issues are investigated using a sample of monthly data on Australian industry portfolios over the nineteen‐year period 1974 to 1992.
Faff, R. W., Brooks, R. D.
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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
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Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model With Latent Threshold
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 Balcılar, Rıza Demirer
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Time-Varying Beta and the Value Premium
Journal of Financial and Quantitative Analysis, 2017We model conditional market beta and alpha as flexible functions of state variables identified via a formal variable-selection procedure. In the post-1963 sample, the beta of the value premium comoves strongly with unemployment, inflation, and the price–earnings ratio in a countercyclical manner. We also uncover a novel nonlinear dependence of alpha on
Hui Guo, Chaojiang Wu, Yan Yu
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Bayesian and mixed estimators of time varying betas
Journal of Economics and Business, 1982Abstract Based on the random coefficient model, Vasicek's static Bayesian beta coefficient adjustment model is extended to a dynamic model. It is shown that the time-varying security beta model can be used to identify and resolve the existence of nonstationary (weak stationary) beta coefficient over time.
Son-Nan Chen, Cheng F. Lee
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