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Time-varying betas and the cross-sectional return–risk relation: evidence from the UK
The European Journal of Finance, 2004The seminal study by Fama and MacBeth in 1973 initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate as to whether beta is a valid measure of risk was reanimated by Fama and French and subsequent studies.
Fraser, P +3 more
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Return prediction with time varying betas: a research in BIST
International Journal of Accounting and Finance, 2020In 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
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Time-Varying Currency Betas : Evidence from Developed and Emerging Markets [PDF]
, 2009 This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes in bilateral exchange rate between the US dollar and the ...
Prabhath Jayasinghe, Albert K. Tsui
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Annals of Operations Research, 2019Fredj Jawadi +3 more
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Time-Varying Beta Estimation in CAPM Under the Regime-Switching Model
International Econometric Conference of Vietnam, 2018R. Tansuchat +3 more
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Time varying CAPM betas on Zagreb Stock Exchange
2015This paper employs a CCC GARCH(1, 1) model in order to identify the volatility dynamics of stock market and sector indices on Zagreb Stock Exchange. Time varying CAPM betas are estimated in order to test whether portfolio formation based on the results can enhance portfolio performance.
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Estimating Time-Varying Beta Coefficients: An Empirical Study of US and ASEAN Portfolios
, 2016J. French
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TIME-VARYING BETA OF THE PARTICIPATION 30 INDEX
2019Islamicstock indices are consisting of stocks that are subject to various filteringcriteria related to the field of activity and indebtedness of stocks traded onconventional stock markets. The Participation 30 index (KATLM) consists of 30stocks that are determined to meet the filtering criteria among the stockstraded on Borsa Istanbul.
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Time-varying beta during the 2008 financial crisis – evidence from North America and Western Europe
, 2017Ikrame Ben Slimane +2 more
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