A nonparametric approach for estimating betas: the smoothed rolling estimator

被引：7
|
作者：
Victoria Esteban, Maria [1 ]
Orbe-Mandaluniz, Susan [1 ]
机构：
[1] Univ Basque Country, Dept Econometria & Estadist, Bilbao 48015, Spain
来源：
APPLIED ECONOMICS | 2010年 / 42卷 / 10期
关键词：
ASSET PRICING-MODELS; RISK; MARKET; EQUILIBRIUM; COEFFICIENT;
D O I：
10.1080/00036840701721257
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the Capital Asset Pricing Model (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 favourable to the CAPM.
引用
收藏
页码：1269 / 1279
页数：11
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