TY - JOUR

T1 - Estimating Beta: The International Evidence

AU - Hollstein, Fabian

N1 - Funding information: ? I thank an anonymous referee for very constructive comments. All remaining errors are my own. I also thank the Hannover Center for Finance e.V. for partly funding the Datastream and Worldscope databases.

PY - 2020/12

Y1 - 2020/12

N2 - This paper examines the estimation of global and local betas for a large set of Developed and Emerging international markets. Estimators based on daily data clearly outperform those based on monthly or quarterly data. For global and local market betas, the optimal window length is at roughly 24 and 12 months, respectively, for most Developed Markets. It tends to be somewhat longer for Emerging Markets. The best estimators include a double-shrinkage, a long memory (FI), and a simple combination approach. For hedging the market risk exposure in anomaly portfolios, the FI and combination estimators also perform overall best.

AB - This paper examines the estimation of global and local betas for a large set of Developed and Emerging international markets. Estimators based on daily data clearly outperform those based on monthly or quarterly data. For global and local market betas, the optimal window length is at roughly 24 and 12 months, respectively, for most Developed Markets. It tends to be somewhat longer for Emerging Markets. The best estimators include a double-shrinkage, a long memory (FI), and a simple combination approach. For hedging the market risk exposure in anomaly portfolios, the FI and combination estimators also perform overall best.

KW - Beta estimation

KW - Global market betas

KW - International capital markets

UR - http://www.scopus.com/inward/record.url?scp=85092478058&partnerID=8YFLogxK

U2 - 10.1016/j.jbankfin.2020.105968

DO - 10.1016/j.jbankfin.2020.105968

M3 - Article

VL - 121

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

M1 - 105968

ER -