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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/152333

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/152333

Title:	Simply Better Market Betas around the Globe
Authors:	鍾令德 Chung, Ling Tak Douglas
Contributors:	國貿系
Keywords:	Market Beta Estimation;International Stock Markets
Date:	2024-04
Issue Date:	2024-07-17
Abstract:	This paper compares the forecasting and hedging performance of 11 market beta estimators across 53 international stock markets in 6 geographical regions. The Welch (2022) age-decayed slope-winsorized beta estimator produces the highest R-squareds in predicting future realized OLS betas in 45 markets and is always within the top 3 performers. It also forecasts future realizations of its competitors well and performs the best when hedging market risk exposures in 42 markets. On the practical side, it significantly outperforms commonly available market betas on Bloomberg, Yahoo! Finance, and Google Finance. Market participants can greatly improve their beta estimations in both developed and emerging markets with this easy-to-implement slope-winsorized beta estimator.
Relation:	Critical Finance Review (NSTC A Tier-1),
Data Type:	article
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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