A nonparametric approach for estimating betas: The smoothed rolling estimator

Victoria Maria Esteban (1) , Susan Orbe-Mandaluniz (2)

1 Econometrics and Statistics
2 Econometrics and Statistics

In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of the proxy for betas. A data driven method is proposed for selecting the smoothness degrees, which are directly related to the subsample sizes. Based on this relation, the traditional estimator is obtained as a particular case. Contrary to the results obtained in other studies our empirical evidence for Spanish market data is favorable to the CAPM.

Mots clés: Social Sciences & Humanities

Victoria Maria Esteban, Susan Orbe-Mandaluniz. A nonparametric approach for estimating betas: The smoothed rolling estimator. Applied Economics, 2010, 42 (10), pp.1269-1279. ⟨10.1080/00036840701721257⟩. ⟨hal-00588677⟩