欧洲网络监管背景下的贝塔估计:什么重要,什么不重要,什么是不可或缺的。

IF 1.5 Q3 BUSINESS, FINANCE
Dmitry Bazhutov, André Betzer, Richard Stehle
{"title":"欧洲网络监管背景下的贝塔估计:什么重要,什么不重要,什么是不可或缺的。","authors":"Dmitry Bazhutov,&nbsp;André Betzer,&nbsp;Richard Stehle","doi":"10.1007/s11408-023-00428-z","DOIUrl":null,"url":null,"abstract":"<p><p>Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant misestimation of the future beta. (2) Three- and especially five-year betas are much more stable than one-year betas. (3) The choice between purely local, European or global betas may matter considerably. (4) Weekly or daily betas seem to be better than monthly ones. (5) Vasicek and Blume adjustments towards one lead to beta predictions that are too high.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":" ","pages":"1-37"},"PeriodicalIF":1.5000,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10131524/pdf/","citationCount":"1","resultStr":"{\"title\":\"Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable.\",\"authors\":\"Dmitry Bazhutov,&nbsp;André Betzer,&nbsp;Richard Stehle\",\"doi\":\"10.1007/s11408-023-00428-z\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p><p>Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant misestimation of the future beta. (2) Three- and especially five-year betas are much more stable than one-year betas. (3) The choice between purely local, European or global betas may matter considerably. (4) Weekly or daily betas seem to be better than monthly ones. (5) Vasicek and Blume adjustments towards one lead to beta predictions that are too high.</p>\",\"PeriodicalId\":44895,\"journal\":{\"name\":\"Financial Markets and Portfolio Management\",\"volume\":\" \",\"pages\":\"1-37\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-04-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10131524/pdf/\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Markets and Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s11408-023-00428-z\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Markets and Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s11408-023-00428-z","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 1

摘要

大多数关于贝塔估计的研究都着眼于股票的整个宇宙。我们关注的是受欧洲网络监管的公司股票中的一小部分。这使我们能够非常详细地研究个股和小型同行群体的贝塔时间序列。我们最重要的结论是:(1)β突然增加或减少,通常只持续很短的时间,因此可能会导致对未来β的重大错误估计。(2) 三年期,尤其是五年期贝塔比一年期贝塔稳定得多。(3) 在纯本地、欧洲或全球贝塔之间的选择可能相当重要。(4) 每周或每天的测试版似乎比每月的测试版要好。(5) 瓦西切克和布鲁姆对一的调整导致贝塔预测过高。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable.

Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable.

Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable.

Beta estimation in the European network regulation context: what matters, what doesn't, and what is indispensable.

Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant misestimation of the future beta. (2) Three- and especially five-year betas are much more stable than one-year betas. (3) The choice between purely local, European or global betas may matter considerably. (4) Weekly or daily betas seem to be better than monthly ones. (5) Vasicek and Blume adjustments towards one lead to beta predictions that are too high.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
3.20
自引率
0.00%
发文量
21
期刊介绍: The journal Financial Markets and Portfolio Management invites submissions of original research articles in all areas of finance, especially in – but not limited to – financial markets, portfolio choice and wealth management, asset pricing, risk management, and regulation. Its principal objective is to publish high-quality articles of innovative research and practical application. The readers of Financial Markets and Portfolio Management are academics and professionals in finance and economics, especially in the areas of asset management. FMPM publishes academic and applied research articles, shorter ''Perspectives'' and survey articles on current topics of interest to the financial community, as well as book reviews. All article submissions are subject to a double-blind peer review. http://www.fmpm.org Officially cited as: Financ Mark Portf Manag
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信