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dc.contributor.authorFerreira García, María Eva
dc.contributor.authorGil Bazo, Javier
dc.contributor.authorOrbe Mandaluniz, Susan
dc.date.accessioned2011-12-21T10:30:41Z
dc.date.available2011-12-21T10:30:41Z
dc.date.issued2010
dc.identifier.issn1134-8984
dc.identifier.urihttp://hdl.handle.net/10810/5563
dc.description.abstractWe propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances are estimated nonparametrically for each asset and period using the time-series of previous data. Then, time-varying MPR are estimated from the cross-section of returns and covariances using the entire sample. We prove the consistency and asymptotic normality of the estimators. Results from a Monte Carlo simulation for the three-factor model of Fama and French (1993) suggest that nonparametrically estimated betas outperform rolling betas under different specifications of beta dynamics. Using return data on the 25 size and book-to-market sorted portfolios, we find that MPR associated with the three Fama-French factors exhibit substantial variation through time. Finally, the flexible version of the three-factor model beats alternative parametric specifications in terms of forecasting future returns.es
dc.description.sponsorshipThis work has been supported by the Spanish Government grants ECO2008-00777/ECON and SEJ2007-67448, and Grupo MACLAB (IT-241-07)-Basque Government.es
dc.language.isoenges
dc.relation.ispartofseriesBiltoki 2010.10
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectKernel estimationes
dc.subjectconditional asset pricing modelses
dc.subjectFama-French three-factor modeles
dc.subjectlocally stationary processeses
dc.titleConditional beta pricing models: A nonparametric approaches
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG12
dc.subject.jelC14
dc.subject.jelC32
dc.identifier.repecRePEc:ehu:biltok:201010es
dc.departamentoesEconomía aplicada III (Econometría y Estadística)es_ES
dc.departamentoeuEkonomia aplikatua III (ekonometria eta estatistika)es_ES
dc.subject.categoriaMATHEMATICAL AND QUANTITATIVE METHODS
dc.subject.categoriaFINANCIAL ECONOMICS


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported