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Article Dans Une Revue North American Journal of Economics and Finance Année : 2020

Time-varying beta in functional factor models: Evidence from China

Résumé

In this paper, we introduce a functional method to investigate how betas change over time in factor models. Based on the China A-share data, we drop the constant beta assumption in the CAPM and multi-factor models to estimate the time-varying betas directly from the functional data regression. The empirical results show that exposures to all risk factors have certain time-varying patterns in the Chinese A-share stock market.
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hal-03492976 , version 1 (17-10-2022)

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Paternité - Pas d'utilisation commerciale

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Lajos Horváth, Bo Li, Hemei Li, Zhenya Liu. Time-varying beta in functional factor models: Evidence from China. North American Journal of Economics and Finance, 2020, 54, pp.101283 -. ⟨10.1016/j.najef.2020.101283⟩. ⟨hal-03492976⟩
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