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Stock price reaction to profit warnings: the role of time-varying betas [PDF]
Review of Quantitative Finance and Accounting, 2017 © 2017 The Author(s)This study investigates the role of time-varying betas, event-induced variance and conditional heteroskedasticity in the estimation of abnormal returns around important news announcements. Our analysis is based on the stock price reaction to profit warnings issued by a sample of firms listed on the Hong Kong Stock Exchange.
Yin, Shuxing +3 more
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Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors
, 2014 In the current study, we investigate the effect of the subprime financial crisis on the time-varying beta of 10 U.S. industrial sectors. We use daily data, during the period 2002 through 2014, and the bivariate BEKK-GARCH model to the conditional capital
Habib Hasnaoui, Ibrahim Fatnassi
semanticscholar +3 more sources
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time‐varying beta
, 2008 This paper investigates the forecasting ability of four different GARCH models and the Kalman filter method. The four GARCH models applied are the bivariate GARCH, BEKK GARCH, GARCH-GJR and the GARCH-X model.
Taufiq Choudhry, Hao Wu
semanticscholar +3 more sources
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas [PDF]
SSRN Electronic Journal, 2021 Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility and beta tracking, we investigate the finite sample ...
Grassi, Stefano, Violante, Francesco
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, 2017 This study clarifies the state of dynamic evolution of the international CAPM betas for Asia Pacific (excluding Japan) and Japanese stock returns: first, both for Asia Pacific and Japanese stock markets, the time-invariant international CAPM beta values ...
Chikashi Tsuji
semanticscholar +2 more sources
, 2017 This intention of this paper is to empirically forecast the daily betas of a few European banks by means of four generalized autoregressive conditional heteroscedasticity (GARCH) models and the Kalman filter method during the pre-global financial crisis ...
Yuanyuan Zhang, Taufiq Choudhry
semanticscholar +3 more sources
Dynamics of time-varying currency beta on Indian industries: A Markov switching approach
IIMB Management Review, 2023 We examine the dynamics of time-varying currency beta across Indian industries. Through the Markov regime switching model we try to check whether currency beta is also regime-dependent, similar to other financial variables.
Soumya Saha +2 more
doaj +2 more sources
Time-varying beta, market volatility and stress: A comparison between the United States and India
IIMB Management Review, 2021 This study examines the time-varying nature of industry betas in India and the United States to explore whether their observed behaviours are independent of the extent of development of the financial market.
Gagari Chakrabarti, Ria Das
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Time-Varying Beta Estimators in the Mexican Emerging Market [PDF]
, 2011 The authors acknowledge financial support from Ministerio de Ciencia e Innovación under research grants ECO2009-09120, ECO2008-00777/ECON, ECO2008-02599 and ECO2011- 29751, and from Dpto. de Educación, Universidades e Investigación del Gobierno Vasco under research grants IT-313-07 and IT-241-07.
Nieto Domenech, Belén +2 more
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, 2017 This paper investigates the time-invariant and the time-varying betas of the international capital asset pricing model (CAPM) for North American and European equity portfolio returns over the period from August 1, 1990 to June 30, 2016.
Chikashi Tsuji
semanticscholar +3 more sources