Accessibility navigation


Estimating Beta

Hollstein, F. and Prokopczuk, M. (2016) Estimating Beta. Journal of Financial and Quantitative Analysis, 51 (4). pp. 1437-1466. ISSN 1756-6916

Full text not archived in this repository.

To link to this item DOI: 10.1017/S0022109016000508

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:39066
Publisher:Cambridge University Press

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation