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Der Betafaktor im CAPM als variierender Regressionskoeffizient

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  • Becker, Steffen

Abstract

Der Betafaktor oder -koeffizient wird in Regressionsmodellen der statistisch-ökonometrischen Theorie üblicherweise als konstant und zeitunabhängig angenommen. Bei Anwendungen ist diese Stabilität häufig jedoch nicht gegeben. Das vorliegende Arbeitspapier stellt am Beispiel des Capital Asset Pricing Model Zeitreihenmodelle vor, die eine Variierung des Regressionskoeffizienten explizit zulassen. Die Ansätze der rekursiven, diskontierten Methode der kleinsten Quadrate und der gleitenden, lokalen Regression bilden abschließend die Grundlage für die empirische Untersuchung am deutschen Aktienmarkt.

Suggested Citation

  • Becker, Steffen, 2008. "Der Betafaktor im CAPM als variierender Regressionskoeffizient," Arbeitspapiere des Instituts für Statistik und Ökonometrie 39, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
    • Handle: RePEc:zbw:maista:39
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    Cited by:

    1. Schulze, Peter M., 2009. "Seasonal unit root tests for the monthly container transshipment of the port of Hamburg," Arbeitspapiere des Instituts für Statistik und Ökonometrie 45, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.

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