Results 261 to 270 of about 18,915,989 (297)

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
openaire   +1 more source

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
openaire   +1 more source

Time-Varying Betas of Banking Sectors [PDF]

Finance a uver - Czech Journal of Economics and Finance, 2012
This paper analyzes the evolution of the systematic risk of the banking industries in eight advanced countries using weekly data from 1990 to 2012. Time-varying betas are estimated by means of a Bayesian state-space model with stochastic volatility, whose results are contrasted with those of the standard M-GARCH and rolling-regression models.
Tomas Adam, Sona Benecka, Ivo Jansky
openaire  

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.
openaire   +1 more source

Return prediction with time varying betas: a research in BIST

International Journal of Accounting and Finance, 2020
In the present study, dynamic versions of beta, which is the risk measure of investment instruments, have been employed to predict daily return of 30 random portfolios made of 154 stocks transacted in BIST ALL between dates 02.01.2003 and 29.08.2013. BIST 100 Index has been employed as the market portfolio.
Ayca Akyatan, Mustafa Koray Cetin
openaire   +1 more source

Time varying equity market beta as an index of financial openness?

Applied Financial Economics, 2013
From the data consisting of over a century, there has been a significant relationship between capital account liberalization and increasing correlation among national stock markets of different countries (Quinn and Voth, 2008). In this research we propose a price based de facto measure of financial integration/openness that can be used to rank selected
Rizvi, Syed Kumail Abbas, Naqvi, Bushra, Bordes, Christian   +2 more
openaire   +3 more sources

A Selectivity Corrected Time Varying Beta Estimator

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 Darren Brooks, Jonathan Dark, Robert W. Faff, Tim R.L. Fry   +3 more
openaire   +1 more source

Hedge Fund Strategies and Time-Varying Alphas and Betas

The Journal of Wealth Management, 2017
This article compares the time-varying estimates of alphas and betas for hedge funds in bear and bull market periods. The time-varying models show that most hedge fund strategies vary their beta risk exposure in accordance with changing market conditions.
Stein Frydenberg, Kjartan Hrafnkelsson, Vegard Strand Bromseth, Sjur Westgaard   +3 more
openaire   +1 more source

Time-varying betas of the banking sector

2012
This paper analyses the evolution of systematic risk of banking industries in eight advanced countries using weekly data from 1990 to 2012. The estimation of time-varying betas is done by means of a Bayesian state space model with stochastic volatility, whose results are contrasted with those of the standard M-GARCH and rolling-regression models.
Tomáš Adam, Sona Benecká, Ivo Jánský   +2 more
openaire   +2 more sources

Time Varying Betas of European listed Real Estate.

24th Annual European Real Estate Society Conference, 2017
New REIT (Real Estate Investment Trust) regimes have been adopted in numerous European countries over the last 15 years. The aim was to increase transparency and intensify the link between listed and direct real estate; hence reduce it between listed real estate and the general stock market. However, in this paper, we acknowledge a positive jump in the
Saadallah Zaiter, Arnaud Simon
openaire   +1 more source