A nonparametric approach for estimating betas: the smoothed rolling estimator

Esteban, María Victoria; Orbe-Mandaluniz, Susan

[journal article]

dc.contributor.author	Esteban, María Victoria	de
dc.contributor.author	Orbe-Mandaluniz, Susan	de
dc.date.accessioned	2011-04-26T02:57:00Z	de
dc.date.accessioned	2012-08-29T23:11:08Z
dc.date.available	2012-08-29T23:11:08Z
dc.date.issued	2010	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/24650
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	CAPM; varying betas; kernel estimator
dc.title	A nonparametric approach for estimating betas: the smoothed rolling estimator	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Applied Economics	de
dc.source.volume	42	de
dc.publisher.country	USA
dc.source.issue	10	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-246502	de
dc.date.modified	2011-04-26T10:07:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	1269-1279
internal.identifier.classoz	10905
internal.identifier.journal	21	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/00036840701721257	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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