Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable

Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most impo...

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Detalles Bibliográficos
Autores principales: Bazhutov, Dmitry, Betzer, André, Stehle, Richard
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10131524/
https://www.ncbi.nlm.nih.gov/pubmed/37362253
http://dx.doi.org/10.1007/s11408-023-00428-z
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author Bazhutov, Dmitry
Betzer, André
Stehle, Richard
author_facet Bazhutov, Dmitry
Betzer, André
Stehle, Richard
author_sort Bazhutov, Dmitry
collection PubMed
description Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant misestimation of the future beta. (2) Three- and especially five-year betas are much more stable than one-year betas. (3) The choice between purely local, European or global betas may matter considerably. (4) Weekly or daily betas seem to be better than monthly ones. (5) Vasicek and Blume adjustments towards one lead to beta predictions that are too high.
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spelling pubmed-101315242023-04-27 Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable Bazhutov, Dmitry Betzer, André Stehle, Richard Financ Mark Portf Mang Article Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant misestimation of the future beta. (2) Three- and especially five-year betas are much more stable than one-year betas. (3) The choice between purely local, European or global betas may matter considerably. (4) Weekly or daily betas seem to be better than monthly ones. (5) Vasicek and Blume adjustments towards one lead to beta predictions that are too high. Springer US 2023-04-26 /pmc/articles/PMC10131524/ /pubmed/37362253 http://dx.doi.org/10.1007/s11408-023-00428-z Text en © The Author(s) 2023 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Bazhutov, Dmitry
Betzer, André
Stehle, Richard
Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable
title Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable
title_full Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable
title_fullStr Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable
title_full_unstemmed Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable
title_short Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable
title_sort beta estimation in the european network regulation context: what matters, what doesn’t, and what is indispensable
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10131524/
https://www.ncbi.nlm.nih.gov/pubmed/37362253
http://dx.doi.org/10.1007/s11408-023-00428-z
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