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13.349 Articles in journals published by the UPC
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Time-Varying Market Beta: Does the estimation methodology matter?

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Nieto, Belén
Orbe, Susan
Zarraga, Ainoha
Document typeArticle
Defense date2014-06-12
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
Attribution-NonCommercial-NoDerivs 3.0 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 3.0 Spain
Abstract
This paper compares the performance of nine time-varying beta estimates taken from three different methodologies never previously compared: least-square estimators including nonparametric weights, GARCH-based estimators and Kalman filter estimators. The analysis is applied to the Mexican stock market (2003-2009) because of the high dispersion in betas. The comparison be- tween estimators relies on their financial applications: asset pricing and portfolio management. Results show that Kalman filter estimators with random coefficients outperform the others in capturing both the time series of market risk and their cross-sectional relation with mean returns, while more volatile estimators are better for diversification purposes.
CitationNieto, Belén; Orbe, Susan; Zarraga, Ainoha. Time-Varying Market Beta: Does the estimation methodology matter?. "SORT", 12 Juny 2014, vol. 38, núm. 1, p. 13-42. 
URIhttp://hdl.handle.net/2117/88929
ISSN1696-2281
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