| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26105 |
| 来源ID | Working Paper 26105 |
| Simpler Better Market Betas | |
| Ivo Welch | |
| 发表日期 | 2019-07-29 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than –2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at –2 and +4 times the contemporaneous market rate of return. The resulting “slope-winsorized” estimates outperform (all) other known estimators in predicting the future OLS market-beta (on R² metrics). Adding reasonable age decay, suggesting a half-life of about 3 to 5 months, to observations entering the market-model further improves it. The estimates outpredict the Vasicek estimates by about half as much as the Vasicek estimates outpredict the OLS estimates. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w26105 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583778 |
| 推荐引用方式 GB/T 7714 | Ivo Welch. Simpler Better Market Betas. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26105.pdf（805KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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