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    题名: Simply Better Market Betas around the Globe
    作者: 鍾令德
    Chung, Ling Tak Douglas
    贡献者: 國貿系
    关键词: Market Beta Estimation;International Stock Markets
    日期: 2024-04
    上传时间: 2024-07-17
    摘要: 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.
    關聯: Critical Finance Review (NSTC A Tier-1),
    数据类型: article
    显示于类别:[國際經營與貿易學系 ] 期刊論文

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