Time-varying beta in functional factor models: Evidence from China

被引：7

作者：

Horvath, Lajos ^{[1
]}

Li, Bo ^{[2
]}

Li, Hemei ^{[3
]}

Liu, Zhenya ^{[3
,4
,5
]}

机构：

[1] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA

[2] Beijing Int Studies Univ, Business Sch, Beijing 100024, Peoples R China

[3] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China

[4] Aix Marseille Univ, CERGAM, F-13090 Aix En Provence 02, France

[5] Renmin Univ China, China Financial Policy Res Ctr, Beijing 100872, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 54卷

关键词：

Functional factor models; Time-varying beta; Functional regression; Risk factors; Basic functions; ASSET PRICING MODEL; CROSS-SECTION; SYSTEMATIC-RISK; STOCK-MARKET; CAPM; DETERMINANTS; EQUILIBRIUM; INVESTMENT; VOLATILITY; REGRESSION;

D O I：

10.1016/j.najef.2020.101283

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we introduce a functional method to investigate how betas change over time in factor models. Based on the China A-share data, we drop the constant beta assumption in the CAPM and multi-factor models to estimate the time-varying betas directly from the functional data regression. The empirical results show that exposures to all risk factors have certain time-varying patterns in the Chinese A-share stock market.

引用

页数：22

共 46 条

[1] Asset pricing with liquidity risk [J].