کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085206 1477947 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Dynamic betas for Canadian sector portfolios
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Dynamic betas for Canadian sector portfolios
چکیده انگلیسی
The dynamic betas for ten Canadian sector portfolios using the Kalman filter approach are estimated herein and are found to be best described by a mix of the random walk (trend) and mean-reverting (cycle) processes. The relative importance of the trend and cycle components of sector betas is related to different sensitivities of the corresponding sectors to business cycles. Dynamic betas significantly increase the explanatory power of the market model, and particularly for the utilities sector. A dynamic hedging strategy using the one-step-ahead beta forecasts as the hedge ratios produces smaller hedging errors for every sector compared with the hedge ratios calculated from the alternative beta specifications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 5, December 2008, Pages 1110-1122
نویسندگان
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