Afficher la couverture 'Time-varying beta in functional factor models: Evidence from China | Horváth, Lajos' en grand format
/5

0 avis

Time-varying beta in functional factor models: Evidence from China

Archive ouverte

Horváth, Lajos | Li, Bo | Li, Hemei | Liu, Zhenya

Edité par CCSD ; Elsevier -

International audience. In this paper, we introduce a functional method to investigate how betas change over time in factor models. Based on the China A-share data, we drop the constant beta assumption in the CAPM and multi-factor models to estimate the time-varying betas directly from the functional data regression. The empirical results show that exposures to all risk factors have certain time-varying patterns in the Chinese A-share stock market.

Suggestions

Du même auteur

How to identify the different phases of stock market bubbles statistically?

Archive ouverte | Horváth, Lajos | CCSD

International audience

The Fortune and Crash of Common Risk Factors in Chinese Commodity Markets

Archive ouverte | Li, Hemei | CCSD

International audience. This paper investigates the performance of nine commonly discussed market anomalies in the Chinese commodity market. By studying a data sample from 2005 to 2020, we find the common risk facto...

Digital Transformation Driving Green Innovation: Evidence from Chinese A-Share Firms

Archive ouverte | Li, Hemei | CCSD

International audience. With its ``dual carbon'' goals, Chinese firms are being challenged to improve both their environmental and economic performance. Previous research has found that digital transformation can fo...

Chargement des enrichissements...