Cosemans, M.; Frehen, R.G.P.; Schotman, P.C.; Bauer, … - Volkswirtschaftliche Fakultät, … - 2009
We improve both the specification and estimation of firm-specific betas. Time variation in betas is modeled by combining a parametric specification based on economic theory with a non-parametric approach based on data-driven filters. We increase the precision of individual beta estimates by...