Economics at your fingertips  


Alexander Aue, Siegfried Hörmann, Lajos Horvath, Marie Hušková and Josef G. Steinebach

Econometric Theory, 2012, vol. 28, issue 04, 804-837

Abstract: Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this variability into account. Recent advances in data acquisition and processing techniques have led to an increased research output concerning high-frequency models. Within this framework, we introduce here a modified functional CAPM and sequential monitoring procedures to test for the constancy of the portfolio betas. As our main results we derive the large-sample properties of these monitoring procedures. In a simulation study and an application to S&P 100 data we show that our method performs well in finite samples.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link) link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2019-08-26
Handle: RePEc:cup:etheor:v:28:y:2012:i:04:p:804-837_00