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Forecasting time-varying daily betas: a new nonlinear approach
Managerial Finance, 2016Purpose– 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, 2013From 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 +2 more
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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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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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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 ...
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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 Leverage Demand and Predictability of Betting-Against-Beta
SSRN Electronic Journal, 2018The leverage aversion theory implies that returns to the betting-against-beta (BAB) strategy are predictable by past market returns: An outward shift in investors' aggregate demand function simultaneously increases market prices and increases the expected future BAB return.
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SARS-CoV-2 variant biology: immune escape, transmission and fitness
Nature Reviews Microbiology, 2023Alessandro Maria Carabelli +2 more
exaly
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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