کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089665 1375600 2011 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Conditional beta pricing models: A nonparametric approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Conditional beta pricing models: A nonparametric approach
چکیده انگلیسی
We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each asset and period using the time-series of previous data. Then, time-varying MPR are estimated from the cross-section of returns and betas. We prove the consistency and asymptotic normality of the estimators. We also perform Monte Carlo simulations for the conditional version of the three-factor model of Fama and French (1993) and show that nonparametrically estimated betas outperform rolling betas under different specifications of beta dynamics. Using return data on the 25 size and book-to-market sorted portfolios, we find that the nonparametric procedure produces a better fit of the three-factor model to the data, less biased estimates of MPR and lower pricing errors than the Fama-MacBeth procedure with betas estimated under several alternative parametric specifications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 12, December 2011, Pages 3362-3382
نویسندگان
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