Estimating Security Betas Using Prior Information Based on Firm Fundamentals
Estimating Security Betas Using Prior Information Based on Firm Fundamentals
复制标题
使用基于公司基本面的先验信息估计安全贝塔值
DOI：
10.2139/ssrn.1342326
复制
发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Rob Bauer
中科院分区：
文献类型：
--
作者：
Mathijs Cosemans;Rik Frehen;P. Schotman;Rob Bauer
我们提出了一种估算beta的混合方法，该方法缩小了对经济理论驱动的企业特定先验的滚动窗口估计。我们的方法产生了具有重要实际意义的β的优越预测。首先，与标准的滚动窗测试不同，混合测试即使在控制了特征之后，也会在横截面上承担很大的风险。其次，混合方法为使用因子模型构建最优投资组合的投资者提供了统计上和经济上显著的样本外收益。我们表明，混合估计器优于现有的估计器，因为对基于基本先验的收缩在减少极端beta估计中的测量噪声方面是有效的。
We propose a hybrid approach for estimating beta that shrinks rolling window estimates toward firm-specific priors motivated by economic theory. Our method yields superior forecasts of beta that have important practical implications. First, unlike standard rolling window betas, hybrid betas carry a significant price of risk in the cross-section even after controlling for characteristics. Second, the hybrid approach offers statistically and economically significant out-of-sample benefits for investors who use factor models to construct optimal portfolios. We show that the hybrid estimator outperforms existing estimators because shrinkage toward a fundamentals-based prior is effective in reducing measurement noise in extreme beta estimates.
影响因子：
6.1
作者：
HANSEN, LP;RICHARD, SF
通讯作者：
RICHARD, SF