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 | |