Arbeitspapier
Conditionally parametric fits for CAPM betas
The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable evidence that the beta stability assumption commonly used when estimating the model is invalid. Nonparametric regression methods are used to examine the stability of beta coefficients in German stock returns. Since local polynomial regression is used for estimation, known methods for testing the stability and for bandwidth choice can be used. For some returns the test indicates time-varying betas. For these returns conditionally parametric fits are calculated.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 04/04
- Klassifikation
-
Wirtschaft
- Thema
-
CAPM
time-varying betas
conditionally parametric fits
nonparametric regression
Capital Asset Pricing Model
Beta-Faktor
Nichtlineares Verfahren
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Abberger, Klaus
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2004
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-17559
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Abberger, Klaus
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2004
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