Details
| Original language | English |
|---|---|
| Pages (from-to) | 1437-1466 |
| Number of pages | 30 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 51 |
| Issue number | 4 |
| Publication status | Published - Aug 2016 |
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.
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Financial and Quantitative Analysis, Vol. 51, No. 4, 08.2016, p. 1437-1466.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Estimating Beta
AU - Hollstein, Fabian
AU - Prokopczuk, Marcel
PY - 2016/8
Y1 - 2016/8
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85006276889&partnerID=8YFLogxK
U2 - 10.1017/s0022109016000508
DO - 10.1017/s0022109016000508
M3 - Article
AN - SCOPUS:85006276889
VL - 51
SP - 1437
EP - 1466
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
SN - 0022-1090
IS - 4
ER -