TY  - UNPD
A1  - Andersen, Torben G.
A1  - Bollerslev, Tim
A1  - Diebold, Francis X.
A1  - Wu, Jin
T1  - Realized beta : persistence and predictability
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2004,16
N2  - A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas, vis-à-vis the dynamics in the underlying realized market variance and individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led to a framework of nonlinear fractional cointegration: although realized variances and covariances are very highly persistent and well approximated as fractionally-integrated, realized betas, which are simple nonlinear functions of those realized variances and covariances, are less persistent and arguably best modeled as stationary I(0) processes. We conclude by drawing implications for asset pricing and portfolio management. JEL Klassifikation: C1, G1
T3  - CFS working paper series - 2004, 16 
KW  - quadratic variation and covariation
KW  - realized volatility
KW  - asset pricing
KW  - CAPM
KW  - equity betas
KW  - long memory
KW  - Betafaktor
KW  - Capital-Asset-Pricing-Modell
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4428
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10671
N1  - First version January 2003. This Draft/Print: March 1, 2004.
IS  - This Draft/Print: March 1, 2004
ER  -