Messages
Proposals
Get Urgent Help In Your Essays, Assignments, Homeworks, Dissertation, Thesis Or Coursework Writing
100% Plagiarism Free Writing - Free Turnitin Report - Professional And Experienced Writers - 24/7 Online Support
Table of Contents
2.1 Historical beta Fama & MacBeth and CCAPM
2.3 Exponentially weighted moving average (EWMA)
In the current
research there is the analysis of the methods that are used to estimate the
Beta; beta estimation is done on the daily data from the market data. Consequently,
the primary goal of this research is to know the best method to estimate beta
and to deliver guidance so that there could be a better estimation of the beta.
For the analysis of the beta best method; different methods example conditional
capital asset pricing model (CCAPM), from the historical beta its Fama &
MacBeth, Bayesian model averaging, exponentially weighted moving average
(EWMA), damson beta, covariance/variance method, forecast combinations,
shrinkage estimators, by slope method in excel, correlation method, etc. are
analyzed so that better evaluation can be done.
The primary and secondary analysis is done in this research. Besides, there is an attention available and the day by day return information from the market, it is investigated in the exploration which exponential weighting plan in the field of macroeconomic is viewed as sustainable. The traded stock in the U.S. stock exchange is analyzed from the past one year. For the secondary analysis is done in this research, literature review is done. Different research or studies are analyzed so that there could be analysis of the methods that are used to estimate the Beta.
Estimation
of Beta - Comparison of Methods
In
this research, there is an analysis of the methods that are used to estimate
the Beta. However, beta can be explained as the fundamental analysis, which is
determined so that the volatility of the asset or the portfolio can be known.
The beta of the overall market is 1.0; consequently, when the individual stocks
are calculated then there is the analysis that how much the company is
deviating from the market. If the stock has a beta greater than 1.0 means the
stock moves more and there are potential or higher risks but higher returns as
well. Moreover, if the value of the beta is less than 1.0, then it means that
stock moves less and there are fewer risks in the market. However, the low-beta
stocks pose a result in the lower return. There is an investigation of the
model for the mixes for beta estimation. The examination of the exploration is
done on the U.S. stock universe; the examination is done of over 50 years with
the assistance of the authentic estimator that which system is viewed as best
for the beta investigation
Several
methods can evaluate or estimate the value of the beta; beta is the risk-reward
measure and can help the investors so that they could effectively determine the
stock's price variability and also the risks. For the analysis of the beta;
different methods example conditional capital asset pricing model (CCAPM), from
the historical beta its Fama & MacBeth, Bayesian model averaging,
exponentially weighted moving average (EWMA), damson beta, covariance/variance
method, forecast combinations, shrinkage estimators, by slope method in excel,
correlation method, etc. however, with the help of the beta market risks can be
analyzed and there can be security or analysis regarding the variance market
returns
In
this research, there is an analysis of the of the beta models that which model
or method proved to be effective. However, the beta estimation is done on the
daily data from the market. Techniques are analyzed through focus on the
effects of historical windows, sampling frequencies, forecast adjustments etc.
consequently, regression based analysis, macroeconomic state variables
deviations the alternative historical windows are also analyzed by using the
low-frequency data from the historical averages. There is also the analysis of
the Bayesian model averaging combinations.
The
research is done to know about the best method for the beta; however, beta is
used by the practitioners or there are the need estimates of betas so that
there could be an analysis of the errors through the historical data. The
primary goal of this research is to know the best method to estimate beta and
to deliver guidance so that there could be a better estimation of the beta. The
data that has the lowest average prediction errors were used for the research. There
is an investigation of the techniques that are utilized to appraise the Beta. Consequently,
Bayesian combinations for the estimation and adjustment approaches are analyzed
and the most recent data historical window of 1 year is known considering the
market beta. Be that as it may, beta can be clarified as the crucial
examination, which is resolved so the instability of the advantage or the
portfolio can be known. This research also investigates or forecast
combinations regarding the macroeconomic state
The
current research includes the following objectives:
·
To analyze the factors
of beta models that which model or method proved to be effective.
·
To determine the beta
estimation from the daily data from the market. The data with the lowest
average prediction errors U.S. stock universe is analyzed.
·
To evaluate the impact
best method to estimate beta and to deliver guidance so that there could be a
better estimation of the beta.
·
To ascertain the
impact of techniques and analyzes techniques through focus on the effects of
historical windows, sampling frequencies, forecast adjustments etc.
·
To analyze the impact
of Bayesian combinations for the estimation and adjustment approaches are
analyzed.
·
To determine the
impact of different methods used for beta include CCAPM, historical beta Fama
& MacBeth, Bayesian model averaging, EWMA, forecast combinations, shrinkage
estimators, by slope method in excel, correlation method, etc.
The
current research includes the following question:
1.
What are some of the factors
of beta models that which model or method proved to be effective?
2.
What are some aspects
to determine the beta estimation from the daily data from the market and how the
data with the lowest average prediction errors proved to be effective from the U.S.
stock universe?
3.
What are some impacts
of best method to estimate beta and to deliver guidance so that there could be
a better estimation of the beta?
4.
How best beta
techniques are analyzed through focus on the effects of historical windows,
sampling frequencies, forecast adjustments etc.?
5.
What are some aspects
to analyze the impact of Bayesian combinations for the estimation and
adjustment approaches are analyzed?
6.
How to determine the
impact of different methods used for beta include CCAPM, historical beta Fama
& MacBeth, Bayesian model averaging, EWMA, forecast combinations, shrinkage
estimators, by slope method in excel, correlation method, etc.?
For
the secondary analysis is done in this research, literature review is done. The
examination of the strategies that are utilized to appraise the Beta are
clarified in this research
Different
research or studies are analyzed so that there could be analysis of the methods
that are used to estimate the Beta. However, beta can be explained as the
fundamental analysis, which is determined so that the volatility of the asset
or the portfolio can be known. Several methods can evaluate or estimate the
value of the beta; beta is the risk-reward measure and can help the investors
so that they could effectively determine the stock's price variability and also
the risks.
According
to the research conducted by Guermat &
Freeman (2010) there is the focus on the Mone-factor model (CAPM) and
Fama and French; however, the researchers analyzed the differences and the
effects in both the techniques. However, in the research it is known that both
the techniques are effective in order to evaluate the value of the beta. Fama
and French indicated as poor model; there are a few shortcomings so breaking
down the multifaceted case, it is realized that CAPM improves on account of
arrangement of benefits. Also, the CCAPM has better evaluating expected returns
with regards to the beta for the individual stock. However, CAPM is better as
compared to the Fama and French because it is a historical technique. Moreover,
the CCAPM has better estimating expected returns when it comes to the beta for
the individual stock
According
to the research conducted by Bartholdy &
Peare (2005) it is analyzed that CCAPM has better portfolio returns,
however, the main objective two models but still the research compare the
performance of the models and know that CAPM is better as can be obtained using
different time frames so it is efficient one. Fama and French showed very poor
performance as a model; there are several weaknesses so analyzing the
multi-factor case, it is known that CAPM does much better in the case of
portfolios of assets. The research found that CAPM is the standard technique
for beta or testing assets
According
to the research conducted by Chmielecki &
Raftery (2011) it is known that the Bayesian model averaging (BMA) is
proved to be an effective approach for the beta analysis because in the
research it is considered to be best for the predictive probability density
functions. However, after analyzing the translation algorithm in the research
or after analyzing the visibility forecasts, it is known that forecasts can be
effectively done based on the technique and as the research done the
regression-based visibility forecasts and explored a method that is proved to
be effective for the additional predictors. the Bayesian model averaging (BMA)
is proved to be an effective approach as it can also increase precision
According
to the research conducted by Glova (2013) EWMA
technique is proved to be effective for the correlation structure of beta, it
is the forecasting techniques that also given value by the Economist Harry
Markowitz (1952); however, it is known that EWMA can effectively analyze the
systematic risk and specific risk from the static perspective. EWMA can give
the quantitative perspective on portfolios fluctuation and there are better
choices for the speculation extent or riskless venture
The
method is improved and dynamized with time. The EWMA can do an effective analysis
of the variance and covariance forecast for the beta coefficient. In the
research, there is the analysis of the Harry Max Markowitz (1959) in the
research and it is known that EWMA can provide the quantitative view of
portfolios variance and there are better decisions for the investment
proportion or riskless investment. it is realized that EWMA can adequately
break down the efficient hazard and explicit hazard from the static point of
view. The researchers noticed that EWMA is the efficient frontier or the
quadratic technique for the observation of stock prices as well as the security
returns. Focused on the Modern portfolio theory (MPT) it is known that EWMA
proved to be effective for the mean-variance analysis
According
to the research conducted by Wang & Huang (2012),
the slope method in excel can also help to analyze the beta. However, in the
excel there is the use of the slope function through which the data can be
analyzed. Nevertheless, the Microsoft Excel SLOPE function help to analyze the
slope of the regression through using the correlation method so it can
effectively have calculated
Correlation
method is another technique that is used to analyze the beta through dividing
market’s standard deviation to the assets of the standard deviation of returns
and then its multiplied by the correlation of returns that can be the market’s
return and the security’s return
The
primary and secondary analysis is done in this research. In this research, for
the primary analysis there is a focus on the Beta methods that are important to
consider for the asset’s sensitivities as well as the risk factors or effect.
The research focuses on the Beta forecast adjustment through the data sampling
frequencies. There is an analysis of the model for the combinations for beta
estimation. Techniques are analyzed through focus on the effects of historical
windows, sampling frequencies, forecast adjustments etc. For the secondary
analysis is done in this research, literature review is done. The examination
of the strategies that are utilized to appraise the Beta are clarified in this
research
The
Research in Security Prices is done. The traded stock in the U.S. stock
exchange is analyzed from the past one year. The analysis of the research is
done on the U.S. stock universe; the analysis is done of more than 50 years is
also considered for the effectual results with the help of the historical
estimator that which technique is considered best for the beta analysis. Bayesian
combinations for the estimation and adjustment approaches are analyzed and the
most recent data historical window of 1 year is known considering the market
beta.
Moreover,
there is a focus on the market and the daily return data from the market, it is
analyzed in the research which exponential weighting scheme in the field of
macroeconomic is considered effective. The technique for future beta is also
predicted. Regression based analysis is done.
|
Date |
NASDAQ Adj Close |
Google Adj Close |
|
12/19/2016 |
5457.439941 |
794.200012 |
|
12/20/2016 |
5483.939941 |
796.419983 |
|
12/21/2016 |
5471.430176 |
794.559998 |
|
12/22/2016 |
5447.419922 |
791.26001 |
|
12/23/2016 |
5462.689941 |
789.909973 |
|
12/27/2016 |
5487.439941 |
791.549988 |
|
12/28/2016 |
5438.560059 |
785.049988 |
|
12/29/2016 |
5432.089844 |
782.789978 |
|
12/30/2016 |
5383.120117 |
771.820007 |
|
Covariance / Variance Method |
||
|
Beta= |
Variance / Covariance |
|
|
0.165488681 |
||
|
Using Slope Function |
||
|
Beta= |
0.165488681 |
|
The
research analyzes various methods that are already proved to be useful for the
estimation of the beta, however, the research analyzes various researches and
focused on the investigation of the examination is done on the U.S. stock
universe; the examination is done of over 50 years with the beta methods to
assess the effect best strategy to appraise beta. There is an investigation of
the model for the blends for beta estimation. For the analysis of the beta best
method; different methods example conditional capital asset pricing model
(CCAPM), from the historical beta its Fama & MacBeth, Bayesian model
averaging, exponentially weighted moving average (EWMA), damson beta,
covariance/variance method, forecast combinations, shrinkage estimators, by
slope method in excel, correlation method, etc. are analyzed so that better
evaluation can be done.
It
is known that all the techniques have the advantages as well as disadvantages.
Some beta estimation techniques are proved to be effective that can be used for
the future estimation goals.
Alexander, C. (2008). Market Risk
Analysis, Practical Financial Econometrics. John Wiley & Sons.
Bartholdy, J., & Peare, P. (2005).
Estimation of expected return: CAPM vs. Fama and French. International
Review of Financial Analysis, 14(4), 407-427.
Chmielecki, R. M., & Raftery, A. E.
(2011). Probabilistic visibility forecasting using Bayesian model averaging. Monthly
Weather Review, 139(6), 1626-1636.
Demidenko, E. (2013). Mixed Models:
Theory and Applications with R. John Wiley & Sons.
Glova, J. (2013). Exponential smoothing
technique in correlation structure forecasting of Visegrad country indices. Journal
of Applied Economic Sciences (JAES), 8(24), 184-190.
Goodwin, J. (2012). SAGE Secondary Data
Analysis. SAGE.
Guermat, C., & Freeman, M. C. (2010). A
net beta test of asset pricing models. International Review of Financial
Analysis, 19(1), 1-9.
Wallstreetmojo. (2020). Beta Formula.
Retrieved from https://www.wallstreetmojo.com/beta-formula/
Wang, J.-P., & Huang, D. (2012). RosenPoint: A Microsoft Excel-based program for the Rosenblueth point estimate method and an application in slope stability analysis. Computers & geosciences, 48(1), 239-243.
Discuss your homework for free! Start chat
