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CAPMPerson
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data driven method is proposed for selecting the smoothness degrees, which are directly related to the subsample sizes. Based on this relation, the traditional estimator is obtained as a particular case. Contrary to the results obtained in other studies our empirical evidence for Spanish market data is favorable to the CAPM.Financial aid from G. C. 9/UPV 00038.321-13631/2001, Ministerio de Educación y Ciencia (SEJ-2005-05549/ECON) and from FBBVA (1/BBVA00038.16421/2004) is gratefully acknowledged
While many recent empirical studies of the CAPM have used conditional beta tests, this technique has...
This is the author accepted manuscript. The final version is available from Elsevier via the DOI in ...
Despite the arguments that can be made against using the CAPM, it is very widely used in regulation....
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM e...
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM e...
The CAPM model assumes stock returns to be a linear function of the market return. However, there is...
This study proposes an alternative method for estimating a company's CAPM beta. A discounted residua...
In this paper we test the robustness of the CAPM to two alternative estimation procedures: the Fama ...
The research showed that the calculated betas offer different values depending on the historical ser...
The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their b...
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibil...
This paper compares the performance of three different time-varying betas that have never previousl...
We improve both the specification and estimation of firm-specific betas. Time variation in betas is ...
This paper compares the performance of nine time-varying beta estimates taken from three different m...
markdownabstractWe improve both the specification and estimation of firm-specific betas. Time variat...
While many recent empirical studies of the CAPM have used conditional beta tests, this technique has...
This is the author accepted manuscript. The final version is available from Elsevier via the DOI in ...
Despite the arguments that can be made against using the CAPM, it is very widely used in regulation....
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM e...
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM e...
The CAPM model assumes stock returns to be a linear function of the market return. However, there is...
This study proposes an alternative method for estimating a company's CAPM beta. A discounted residua...
In this paper we test the robustness of the CAPM to two alternative estimation procedures: the Fama ...
The research showed that the calculated betas offer different values depending on the historical ser...
The Capital Asset Pricing Model (CAPM) predicts a linear relation between assets’ return and their b...
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibil...
This paper compares the performance of three different time-varying betas that have never previousl...
We improve both the specification and estimation of firm-specific betas. Time variation in betas is ...
This paper compares the performance of nine time-varying beta estimates taken from three different m...
markdownabstractWe improve both the specification and estimation of firm-specific betas. Time variat...
While many recent empirical studies of the CAPM have used conditional beta tests, this technique has...
This is the author accepted manuscript. The final version is available from Elsevier via the DOI in ...
Despite the arguments that can be made against using the CAPM, it is very widely used in regulation....
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