Conditional Beta Estimation and Forecasting with Panel Data Methods
作者： Michelle L. Barnes , Anthony (Tony) W. Hughes
DOI: 10.2139/SSRN.842645
关键词:
摘要: Standard approaches to the estimation and testing of conditional CAPM models with time-varying or random beta have ignored potential panel nature …nancial data. We test for whether not homogeneity restrictions on time-variation component multifactor betas slope parameters conditioning variables can be rejected. …nd that such are rejected, show there resultant bene…ts forecasting expected returns beta. Further, this approach yields more precise parameter estimates, a greater understanding signi…cance
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