In search of beta
In search of beta
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DOI：
10.1016/j.bar.2017.12.002
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Gregory A
中科院分区：
文献类型：
--
作者：
Gregory A
尽管有局限性，CAPM仍然是一种流行的资产定价模型。然而，在资本资产定价模型中，贝塔系数的估计受到收益率频率的选择和公司特征的影响。本研究对英国的证据进行了详细的研究，我们发现，从不同频率的回报率计算出的贝塔系数的差异与规模、流动性、账面市值比以及某种程度上的不透明度因素有关。我们的结论可能具有重要意义的一个领域是CAPM的监管使用。我们的研究结果意味着，在大多数情况下，低频β估计应优于高频β估计。
Despite its limitations, the CAPM is a popular asset pricing model. However, the estimation of beta in the CAPM is affected by the choice of the returns frequency and firm characteristics. This study undertakes a detailed examination of the evidence for the UK and we find that the differences in beta computed from returns of various frequencies are related to size, liquidity, book-to-market and to some degree, opacity factors. One area where our conclusions might have important implications is in the regulatory use of the CAPM. Our results imply that low frequency beta estimates should, in most cases, be preferred to high frequency beta estimates.