A nonparametric approach for estimating betas: the smoothed rolling estimator

Esteban, María Victoria; Orbe-Mandaluniz, Susan

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%T A nonparametric approach for estimating betas: the smoothed rolling estimator
%A Esteban, María Victoria
%A Orbe-Mandaluniz, Susan
%J Applied Economics
%N 10
%P 1269-1279
%V 42
%D 2010
%K CAPM; varying betas; kernel estimator
%= 2011-04-26T10:07:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-246502
%X 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.
%C USA
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info