(beta) in the CAPM model and the specific risk by the standard error of estimation Sc. The parameter beta of a security … 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 … possibly the parameter beta because it can assess the competitiveness of a company.An investor holding stocks with beta values …

setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily … strong exogeneity conditions. As such, the OLS estimator of CAPM beta is likely biased. Based on the empirical patterns of … daily stock returns, we use three regime-switching models to illustrate thatthe OLS estimator of CAPM beta can be consistent …

We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several … historical, time-series model, and option implied estimators for estimating realized market beta. Thereby, we find the hybrid …, including fully implied and GARCH-based methods for dynamic conditional beta, are dominated by a simple beta estimate based on …

functional form of the conditional beta will inherit a nonstationary right hand side. Our approach uses the cointegrating …