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A nonparametric approach for estimating betas: the smoothed rolling estimator

[Zeitschriftenartikel]

Esteban, María Victoria; Orbe-Mandaluniz, Susan

Zitationshinweis

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Abstract In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data driven method is proposed for selecting the smoothness degrees, which are directly related to the subsample sizes. Based on this relation, the traditional estimator is obtained as a particular case. Contrary to the results obtained in other studies our empirical evidence for Spanish market data is favorable to the CAPM.
Klassifikation Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter CAPM; varying betas; kernel estimator
Sprache Dokument Englisch
Publikationsjahr 2010
Seitenangabe S. 1269-1279
Zeitschriftentitel Applied Economics, 42 (2010) 10
DOI http://dx.doi.org/10.1080/00036840701721257
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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