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Time-varying betas of the banking sector
Adam, Tomáš; Benecká, Soňa; Jánský, Ivo - 2012
This paper analyses the evolution of systematic risk of banking industries in eight advanced countries using weekly data from 1990 to 2012. The estimation of time-varying betas is done by means of a Bayesian state space model with stochastic volatility, whose results are contrasted with those of...
Persistent link: https://www.econbiz.de/10010322211
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Time-Varying Betas of Banking Sectors
Adam, Tomas; Benecka, Sona; Jansky, Ivo - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 6, pp. 485-504
This paper analyzes the evolution of the systematic risk of the banking industries in eight advanced countries using weekly data from 1990 to 2012. Time-varying betas are estimated by means of a Bayesian state-space model with stochastic volatility, whose results are contrasted with those of the...
Persistent link: https://www.econbiz.de/10010600840
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Time-varying betas of the banking sector
Adam, Tomáš; Benecká, Soňa; Jánský, Ivo - 2012
was underestimated before the last financial crisis. -- CAPM ; Time-varying Beta ; Multivariate GARCH ; Bayesian State …
Persistent link: https://www.econbiz.de/10009613270
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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Goodness-of-fit versus significance: A CAPM selection with dynamic betas applied to the Brazilian stock market
de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies 5 (2017) 4, pp. 1-21
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …
Persistent link: https://www.econbiz.de/10011996066
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Back to the future betas: Empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies 4 (2016) 3, pp. 1-13
. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011709010
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Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13
. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of …
Persistent link: https://www.econbiz.de/10011526799
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Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market
de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …
Persistent link: https://www.econbiz.de/10011760331
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Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for … standard CAPM model with constant beta (Model I), the standard CAPM model with time-varying beta (Model II), the CAPM model … conditional on segregating positive and negative market risk premiums with constant beta (Model III), as well as the CAPM model …
Persistent link: https://www.econbiz.de/10005031389
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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