Estimating Time-Varying Beta Coefficients: An Empirical Study of US and ASEAN Portfolios
The Spread of Financial Sophistication through Emerging Markets Worldwide
ISBN: 978-1-78635-156-2, eISBN: 978-1-78635-155-5
Publication date: 11 August 2016
Abstract
As the Association of Southeast Asian Nations (ASEAN) becomes an emerging market, US investors will want to know how their favorite method of calculating asset pricing fits into this new undeveloped market. Also, as the ASEAN becomes more internationalized, managers within will look for ways in which the capital asset pricing model (CAPM) can be applied for their needs. This research looks at the capabilities of the CAPM using ex-post time varying and compares it with the traditional constant beta model. The data include five US sectors and five ASEAN countries, for 10 total portfolios. Find that using a simple nonparametric method that allows for time variation is not statistically different from the traditional constant beta model for portfolios. This research provides additional support for the constant beta.
Keywords
Citation
French, J. (2016), "Estimating Time-Varying Beta Coefficients: An Empirical Study of US and ASEAN Portfolios", The Spread of Financial Sophistication through Emerging Markets Worldwide (Research in Finance, Vol. 32), Emerald Group Publishing Limited, Leeds, pp. 19-34. https://doi.org/10.1108/S0196-382120160000032002
Publisher
:Emerald Group Publishing Limited
Copyright © 2016 Emerald Group Publishing Limited