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• W3124336871 abstract "Abstract We propose a mean-reverting stochastic process for the market beta. In a simulation study, the proposed model generates significantly more precise beta estimates than GARCH betas, betas conditioned on aggregate or firm-level variables, and rolling regression betas, even when the true betas are generated based on these competing specifications. Our model significantly improves out-of-sample hedging effectiveness. In asset pricing tests, our model provides substantially stronger support for the conditional CAPM relative to competing beta models and helps resolve asset pricing anomalies such as the size, book-to-market, and idiosyncratic volatility effects in the cross section of stock returns." @default.
• W3124336871 created "2021-02-01" @default.
• W3124336871 creator A5082038417 @default.
• W3124336871 creator A5088274367 @default.
• W3124336871 date "2005-12-01" @default.
• W3124336871 modified "2023-10-08" @default.
• W3124336871 title "Bayesian Analysis of Stochastic Betas" @default.
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• W3124336871 doi "https://doi.org/10.1017/s0022109000001964" @default.
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