scholarly journals Conditional Betas

2004 ◽  
Author(s):  
Tano Santos ◽  
Pietro Veronesi
Keyword(s):  
Conditional Betas

Conditional Betas

2004 ◽  
Author(s):  
Tano Santos ◽  
Pietro Veronesi
Keyword(s):  
Conditional Betas

scholarly journals Asymptotics of Cholesky GARCH models and time-varying conditional betas

2018 ◽  
Vol 204 (2) ◽  
pp. 223-247 ◽  
Author(s):  
Serge Darolles ◽  
Christian Francq ◽  
Sébastien Laurent
Keyword(s):  
Garch Models ◽  
Time Varying ◽  
Conditional Betas

Dynamic conditional betas and equity returns

2020 ◽  
Vol 07 (04) ◽  
pp. 2050035
Author(s):  
Salvatore Joseph Terregrossa ◽  
Veysel Eraslan
Keyword(s):  
Cross Product ◽  
Equity Returns ◽  
Excess Return ◽  
Cross Sectional ◽  
New Approach ◽  
Product Term ◽  
Conditional Beta ◽  
Conditional Betas ◽  
Empirical Methodology ◽  
Cross Product Term

Our study makes use of a new approach to estimate time-varyingbetas with an application of the corrected Dynamic Conditional Correlation (cDCC) model. Our empirical methodology encompasses an examination of predictive relations between equity return and different specifications of dynamic conditional beta, using cross-sectional regression analysis at both the portfolio and firm levels. Our main finding is a significant, positive relation between equity excess return and an interactive cross product term of dynamic conditional beta and market excess return ([Formula: see text]); suggesting that equity return is largely determined by an interaction effect between dynamic beta and market return.

scholarly journals Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression

2008 ◽  
Vol 43 (2) ◽  
pp. 331-353 ◽  
Author(s):  
Wayne E. Ferson ◽  
Sergei Sarkissian ◽  
Timothy Simin
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Data Snooping ◽  
Pricing Models ◽  
Asset Pricing Model ◽  
Spurious Regression ◽  
Predictive Regressions ◽  
Asset Pricing Models ◽  
Conditional Betas

AbstractThis paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for conditional betas, even in settings where simple predictive regressions are severely biased. However, there are biases in estimates of the conditional alphas. When time-varying alphas are suppressed and only time-varying betas are considered, the betas become biased. Previous studies overstate the significance of time-varying alphas.

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