On empirical challenges in forecasting market betas in crypto markets

Arbeitspapier

This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a fundamental financial problem and we document pervasive empirical issues that arise in the emerging market of crypto assets. Although recent empirical results about US stocks suggest predictability of the future realized betas about 55%, predictability for the universe of crypto assets is at most 20%. Our results suggest that the crypto market betas are highly sensitive not only to the beta estimation method but also to the selection of the market index. Thus we also contribute to the discussion on the appropriate market representation.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IES Working Paper ; No. 19/2022

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions ; Forecasting Models; Simulation Methods ; Financial Econometrics ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Asset pricing ; CAPM ; Market Beta ; Cryptocurrency

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Šíla, Jan ; Mark, Michael ; Krištoufek, Ladislav
• Ereignis: Veröffentlichung
• (wer): Charles University in Prague, Institute of Economic Studies (IES)
• (wo): Prague
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/272791
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ