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A nonparametric approach for estimating betas: the smoothed rolling estimator
[Zeitschriftenartikel]
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 smoo... mehr
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.... weniger
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
https://doi.org/10.1080/00036840701721257
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)