dc.identifier.uri |
http://dx.doi.org/10.15488/4160 |
|
dc.identifier.uri |
https://www.repo.uni-hannover.de/handle/123456789/4194 |
|
dc.contributor.author |
Hollstein, Fabian
|
|
dc.contributor.author |
Prokopczuk, Marcel
|
|
dc.date.accessioned |
2018-12-14T13:53:44Z |
|
dc.date.available |
2018-12-14T13:53:44Z |
|
dc.date.issued |
2016 |
|
dc.identifier.citation |
Hollstein, F.; Prokopczuk, M.: Estimating Beta. In: Journal of Financial and Quantitative Analysis 51 (2016), Nr. 4, S. 1437-1466. DOI: https://doi.org/10.1017/S0022109016000508 |
|
dc.description.abstract |
We conduct a comprehensive comparison of market beta estimation techniques. We study the performance of several historical, time-series model, and option-implied estimators for estimating realized market beta. Thereby, we find the hybrid methodology of Buss and Vilkov to consistently outperform all other approaches. In addition, all other approaches, including fully implied and dynamic conditional beta, based on generalized autoregressive conditional heteroskedasticity (GARCH) models, are dominated by a simple beta estimate based on historical (co-)variances and an approach based on the Kalman filter. Our conclusions remain unchanged after performing several robustness checks. |
eng |
dc.language.iso |
eng |
|
dc.publisher |
Cambridge : Cambridge University Press |
|
dc.relation.ispartofseries |
Journal of Financial and Quantitative Analysis 51 (2016), Nr. 4 |
|
dc.rights |
Es gilt deutsches Urheberrecht. Das Dokument darf zum eigenen Gebrauch kostenfrei genutzt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. Dieser Beitrag ist aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich. |
|
dc.subject |
beta estimation |
eng |
dc.subject |
GARCH models |
eng |
dc.subject |
Buss and Vilkov |
eng |
dc.subject.ddc |
330 | Wirtschaft
|
ger |
dc.title |
Estimating Beta |
|
dc.type |
Article |
|
dc.type |
Text |
|
dc.relation.doi |
https://doi.org/10.1017/S0022109016000508 |
|
dc.bibliographicCitation.issue |
4 |
|
dc.bibliographicCitation.volume |
51 |
|
dc.bibliographicCitation.firstPage |
1437 |
|
dc.bibliographicCitation.lastPage |
1466 |
|
dc.description.version |
publishedVersion |
|
tib.accessRights |
frei zug�nglich |
|