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The conditional relation between Fama-French betas and return
Koch, Stefan; Westheide, Christian - In: Schmalenbach business review : sbr 65 (2013) 4, pp. 334-358
Persistent link: https://www.econbiz.de/10010196962
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Capital Asset Pricing Model : Nonparametric Estimation of Beta Parameter by the Bootstrap Statistical Methodology
Frangos, Christos C. - 2010
involved. The Capital Asset Pricing Model (CAPM) is a linear model of the form: rs = α βrm ε, where rs, rm, are the returns of … (beta) in the CAPM model and the specific risk by the standard error of estimation Sc. The parameter beta of a security … the researcher from the need to assume the Normality of the errors in the CAPM model, because of its non-parametric nature …
Persistent link: https://www.econbiz.de/10013139023
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Uniform inference for conditional factor models with instrumental and idiosyncratic betas
Liao, Yuan; Yang, Xiye - 2017
It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...
Persistent link: https://www.econbiz.de/10011771555
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Conditional beta Capital Asset Pricing Model (CAPM) and duration dependence tests
Allen, David E.; Imbarine Bujang - 2009
Persistent link: https://www.econbiz.de/10008667286
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A net beta test of asset pricing models
Guermat, Cherif; Freeman, Mark C. - In: International review of financial analysis 19 (2010) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10008668737
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Nonparametric methods for estimating and testing for constant betas in asset pricing models
Esteban, María Victoria; Ferreira, Eva; … - In: Applied economics 47 (2015) 25/27, pp. 2577-2607
Persistent link: https://www.econbiz.de/10010519653
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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CAPM with fuzzy returns and hypothesis testing
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Shapiro, A. F.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 40-57
Persistent link: https://www.econbiz.de/10010366209
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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Testing Beta-Pricing Models Using Large Cross-Sections
Raponi, Valentina - 2017
Building on the Shanken (1992) estimator, we develop a new methodology for estimating and testing beta-pricing models when a large number of assets N is available but the number of time-series observations is small. We show empirically that our large N framework can change substantially common...
Persistent link: https://www.econbiz.de/10012962065