A nonparametric approach for estimating betas: the smoothed rolling estimator
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the Capital Asset Pricing Model (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 favourable to the CAPM.
Document Type: Research Article
Affiliations: Departamento de Econometria y Estadistica, Universidad del Pais Vasco, 48015 Bilbao, Spain
Publication date: 01 April 2010
- Editorial Board
- Information for Authors
- Subscribe to this Title
- Ingenta Connect is not responsible for the content or availability of external websites
- Access Key
- Free content
- Partial Free content
- New content
- Open access content
- Partial Open access content
- Subscribed content
- Partial Subscribed content
- Free trial content