Autore
Morana, Claudio

Titolo
Realized Betas and the Cross-Section of Expected Returns
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2007 - Volume: 07 - Fascicolo: 27 - Pagina iniziale: 1 - Pagina finale: 36

In the paper a multivariate realized beta estimator, generalizing previous results of Andersen et al. (2005, in press) to the case of multiple non orthogonal risk factors is introduced. Relatively to previous work on time-varying betas the proposed approach has the advantage of not relying on instrumental variables to proxy time variation in the conditional betas, avoiding sensitivity to the conditioning set employed. Moreover, the estimation procedure is straightforward and a new noise filtering procedure, effective independently of the time series properties of the data, i.e. long/short memory, structural breaks, allows the application of the methodology also using relatively low frequency observations, i.e. daily or weekly. The investigation of the cross-section of expected returns for the 25 value/size Fama-French portfolios yields support for a modified version of the conditional Ja-gannathan and Wang (1996) CAPM model, where implementation is carried out in the proposed smoothed realized beta framework.




Esportazione dati in Refworks (solo per utenti abilitati)