Details
| Original language | English |
|---|---|
| Article number | 105968 |
| Journal | Journal of Banking and Finance |
| Volume | 121 |
| Early online date | 1 Oct 2020 |
| Publication status | Published - Dec 2020 |
Abstract
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.
Keywords
- Beta estimation, Global market betas, International capital markets
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: Journal of Banking and Finance, Vol. 121, 105968, 12.2020.
Research output: Contribution to journal › Article › Research › peer review
}
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 -