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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
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Portfolio optimisation under changing risk via time‐varying beta

Managerial Finance, 2006
PurposeThe paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation.Design/methodology/approachThe approach enables to take into account the relationship between risk and excess returns in up‐side ...
GABBI, GIAMPAOLO, R. BRAMANTE
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Bayesian and mixed estimators of time varying betas

Journal of Economics and Business, 1982
Abstract 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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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
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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
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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
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Hedge Fund Excess Returns Under Time-Varying Beta [PDF]

, 2010
We construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, illiquidity and tail events. We also adjust for database biases arising from voluntary self-reporting. Using a constant beta model, we find no evidence of excess returns for the average hedge fund manager between 1994 and 2009.
Ron Bird, Susan Thorp
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Time varying CAPM betas and banking sector risk

Economics Letters, 2012
Abstract This paper employs the Bai and Perron, 1998 , Bai and Perron, 2003 structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02–2008.01) sample.
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Forecasting time-varying daily betas: a new nonlinear approach

Managerial Finance, 2016
Purpose– The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return.Design/methodology/approach– Different GARCH models, the Kalman filter algorithm and the Schwert and Seguin model are ...
Petros Messis, Achilleas Zapranis
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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
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