Estimating Beta: The International Evidence

65 Pages Posted: 8 Mar 2020 Last revised: 28 Jul 2020

See all articles by Fabian Hollstein

Fabian Hollstein

Leibniz University Hannover - School of Economics and Management

Date Written: February 13, 2020

Abstract

This paper examines the estimation of global and local betas for a large set of Developed and Emerging international markets. Estimators based on daily data clearly outperform those based on monthly or quarterly data. For global and local market betas, the optimal window length is at roughly 24 and 12 months, respectively, for most Developed Markets. It tends to be somewhat longer for Emerging Markets. The best estimators include a double-shrinkage, a long memory (FI), and a simple combination approach. For hedging the market risk exposure in anomaly portfolios, the FI and combination estimators also perform overall best.

Keywords: Beta estimation, global market betas, international capital markets

JEL Classification: G15, G12, G11, G17

Suggested Citation

Hollstein, Fabian, Estimating Beta: The International Evidence (February 13, 2020). Available at SSRN: https://ssrn.com/abstract=3537655 or http://dx.doi.org/10.2139/ssrn.3537655

Fabian Hollstein (Contact Author)

Leibniz University Hannover - School of Economics and Management ( email )

Koenigsworther Platz 1
Hannover, 30167
Germany

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