More documents from Esteban, María Victoria; Orbe-Mandaluniz, Susan
More documents from Applied Economics

Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

A nonparametric approach for estimating betas: the smoothed rolling estimator

[journal article]

Esteban, María Victoria; Orbe-Mandaluniz, Susan

fulltextDownloadDownload full text

(325 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:

Further Details
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.
Classification Economic Statistics, Econometrics, Business Informatics
Free Keywords CAPM; varying betas; kernel estimator
Document language English
Publication Year 2010
Page/Pages p. 1269-1279
Journal Applied Economics, 42 (2010) 10
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)