Modeling time-varying conditional betas a comparison of methods with application for REITs

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed Europ...

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Veröffentlicht in:	Recent econometric techniques for macroeconomic and financial data
1. Verfasser:	Aloy, Marcel (VerfasserIn)
Weitere Verfasser:	Laly, Floris (VerfasserIn), Laurent, Sébastien (VerfasserIn), Lecourt, Christelle (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2021
Schlagworte:	Autoregressive conditional beta > Dynamic conditional beta > Multivariate GARCH > Real estate > REITs > State space > Aufsatz im Buch
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Beschreibung
Zusammenfassung:	Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed Europe REIT markets over the period 2009-2019 via a two-factor model. We evaluate the performance of the different techniques in terms of in-sample estimates as well as through an out-of-sample tracking exercise. Results show that dynamic models clearly outperform static models and that both the state space and autoregressive conditional beta models outperform the other methods.
ISBN:	9783030542511 9783030542542