SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS
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DOI：
10.1017/s0266466611000673
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发表时间：
2012-08-01
影响因子：
0.8
通讯作者：
Steinebach, Josef G.
中科院分区：
文献类型：
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作者：
Aue, Alexander;Hormann, Siegfried;Steinebach, Josef G.
尽管有大量的批评，资本资产定价模型（CAPM）的变体仍然是投资组合经理评估金融资产表现的主要统计工具。在CAPM中，资产的风险是通过其与市场的相关性来表达的，通常被称为贝塔系数。现在经济学家普遍认为，这些投资组合贝塔系数是随时间变化的，因此，任何适当的分析都必须考虑到这种变化。数据采集和处理技术的最新进展导致了高频模型研究成果的增加。在这个框架内，我们在这里介绍了一个修改后的功能CAPM和顺序监测程序来测试的恒定性的投资组合贝塔。作为我们的主要结果，我们得到这些监测程序的大样本属性。在模拟研究和应用S&P 100数据，我们表明，我们的方法在有限的样本表现良好。
Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this variability into account. Recent advances in data acquisition and processing techniques have led to an increased research output concerning high-frequency models. Within this framework, we introduce here a modified functional CAPM and sequential monitoring procedures to test for the constancy of the portfolio betas. As our main results we derive the large-sample properties of these monitoring procedures. In a simulation study and an application to S&P 100 data we show that our method performs well in finite samples.