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Time‐Varying Country Beta Approach in Modelling Country Risk of Turkey

, 2015
Ahmet Kerem Özdemir, Mehmet Emin Yıldız, Emir Otluoğlu   +2 more
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Time-Varying Beta and the Value Premium

Journal of Financial and Quantitative Analysis, 2017
We 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
semanticscholar   +2 more sources

The pricing of time-varying beta

Empirical Economics, 1997
We generalize an asset pricing model based on the Arbitrage Pricing Theory (APT) allowing beta to be time-varying. Making beta a random variable adds flexibility to the model because permits a non-linear relation between individual returns and the set of factors, and accounts for the effect of possible omitted variables.
Gloria González-Rivera
semanticscholar   +2 more sources

September 11 and time-varying beta of United States companies

SSRN Electronic Journal, 2005
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
semanticscholar   +2 more sources

Time-Varying Beta: Autocorrelation and Autoregressive Time Series

, 2016
“[T]ime is the longest distance between two places.”1 This book has focused thus far on bifurcating beta in financial space—that is, on either side of mean rates of return or some other target. It has analyzed beta in recognition of two distinct but related departures from the conventions of modern portfolio theory, the capital asset pricing model ...
J. Chen
semanticscholar   +2 more sources

Constant versus Time-Varying Beta Models: Further Forecast Evaluation: Constant vs. Time-Varying Beta Models

Journal of Forecasting, 2013
ABSTRACTRecent advances in the measurement of beta (systematic return risk) and volatility (total return risk) demonstrate substantial advantages in utilizing high‐frequency return data in a variety of settings. These advances in the measurement of beta and volatility have resulted in improvements in the evaluation of alternative beta and volatility ...
J. J. Reeves, Haifeng Wu
semanticscholar   +2 more sources

Time-Varying Beta—The Case Study of the Largest Companies from the Polish, Czech, and Hungarian Stock Exchange

, 2020
The main goal of this article is to investigate empirically the Kalman approach to estimate the time-varying beta parameter as a systematic investment risk market in Poland, Czech Republic, and Hungary.
W. Dębski, Ewa Feder-Sempach, Piotr Szczepocki   +2 more
semanticscholar   +1 more source

Time-varying estimates of CAPM betas

Mathematics and Computers in Simulation, 1999
Abstract 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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MODELLING ASSET PRICES WITH TIME‐VARYING BETAS *

The Manchester School, 1989
This paper pursues the idea that the relevant distributional moments for the Capital Asset Pricing Model (CAPM) are the conditional, rather than the unconditional, covariances of returns. Thus, asset Betas may be time-varying and random rather than constant. The model is parameterized and estimated on monthly U.K.
STEPHEN G. HALL, DAVID K. MILES, MARK P. TAYLOR   +2 more
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