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Wavelet-Based Beta Estimation : Applications to Indian Stock Market

M., Aasif - 2012

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach...

Persistent link: https://www.econbiz.de/10013103832

Wavelet-Based Beta Estimation : Applications to Indian Stock Market

M., Aasif - 2012

Persistent link: https://www.econbiz.de/10013104218

Agency-Based Asset Pricing and the Beta Anomaly

Blitz, David - 2012

I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock …

Persistent link: https://www.econbiz.de/10013105969

Daily Data is Bad for Beta : Opacity and Frequency-Dependent Betas

Gilbert, Thomas - 2013

the difference between low and high frequency betas (dBeta) yields large systematic mispricings relative to the CAPM at … that the CAPM can hold at high frequencies and more factors are needed to price assets at low frequencies, we show that the … CAPM may be an appropriate asset pricing model at low frequencies but that additional factors, such as one based on opacity …

Persistent link: https://www.econbiz.de/10013091348

Determinants of Market Beta : The Impacts of Firm-Specific Accounting Figures and Market Conditions

Schlueter, Tobias - 2013

This article examines and extends research on the relation between the capital asset pricing model (CAPM) market beta …

Persistent link: https://www.econbiz.de/10013093570

Parameters that Provide Higher Explanation Estimating Betas in the Portuguese Stock Market

Carvalho, Sónia - 2013

During decades, tests have been developed to verify whether the beta is the best tool to explain the returns of securities on the stock market. Moreover, the value of the beta and its coefficient of determination (R-squared) vary with different parameters used for estimating the beta. In this...

Persistent link: https://www.econbiz.de/10013080198

Estimating the Assets-in-Place Beta : A Feedback Algorithm

Andrés, Pablo de - 2010

Based on the linear decomposition of a firm's beta on the betas of its growth options and its Assets in Place, we propose a feedback algorithm to estimate the latter. Our proposal is founded on the existence of risk classes defined by a specific level of systematic risk for current business and...

Persistent link: https://www.econbiz.de/10013152718

Stability in the ISE : Betas for Stocks and Portfolios

Oran, Adil - 2010

In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study...

Persistent link: https://www.econbiz.de/10013147415

Agency-Based Asset Pricing and the Beta Anomaly

Blitz, David - 2014

I argue that delegated portfolio management can cause the equilibrium relation between CAPM beta and expected stock …

Persistent link: https://www.econbiz.de/10013060738

Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas

Grassi, Stefano; Violante, Francesco - 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...

Persistent link: https://www.econbiz.de/10013239060