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Nonparametric estimation betas in the Market Model

dc.contributor.authorEsteban González, María Victoria ORCID
dc.contributor.authorOrbe Mandaluniz, Susan
dc.date.accessioned2011-12-22T12:06:20Z
dc.date.available2011-12-22T12:06:20Z
dc.date.issued2006
dc.identifier.issn1134-8984
dc.identifier.urihttp://hdl.handle.net/10810/5644
dc.description.abstractIn this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data driven method is proposed for selecting the smoothness degrees, which are directly related to the subsample sizes. Based on this relation, the traditional estimator is obtained as a particular case. Contrary to the results obtained in other studies our empirical evidence for Spanish market data is favorable to the CAPM.es
dc.description.sponsorshipFinancial aid from G. C. 9/UPV 00038.321-13631/2001, Ministerio de Educación y Ciencia (SEJ-2005-05549/ECON) and from FBBVA (1/BBVA00038.16421/2004) is gratefully acknowledged.es
dc.language.isoenges
dc.relationinfo:eu-repo/grantAgreement/MCYT/SEJ2005-05549-ECON
dc.relation.ispartofseriesBiltoki 2006.03
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectsmoothed rollinges
dc.subjectbetases
dc.subjectCAPMes
dc.titleNonparametric estimation betas in the Market Modeles
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelC14
dc.subject.jelG12
dc.identifier.repecRePEc:ehu:biltok:200603es
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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