Asset pricing models such as the CAPM calls for the estimation of beta as a measure of the systematic risk. Using historical betas as an input to portfolio analysis requires the assumption of beta stationarity. The existing literature on beta dynamics suggest a somewhat high dispersion of the beta persistence across stocks. In previously unexplored territory, this study aims to investigate factors associated with the degree of beta persistence. By using a sample of 237 U.S. stocks with daily returns observed over the period 1984 to 2015, yearly stock betas were estimated using a GARCH / Maximum Likelihood framework. Autocorrelation properties of these beta series was then crosssectionally regressed on five hypothesized determining variables. Product type as well as the absolute value of beta was found to have a significant effect on the first-order autocorrelation of beta.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-355595 |
| Date | January 2017 |
| Creators | Sanden, Joakim |
| Publisher | Uppsala universitet, Nationalekonomiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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