Is a correction necessary for beta estimation?

Sermaye Varlıklarını Fiyatlama Modeli’ndeki (SVFM) β katsayısı finans alanında sistematik risk ölçütü olarak önemli bir yere sahiptir. Piyasa aktörleri sermaye maliyeti hesaplamada, varlık değerlemelerinde, portföy stratejileri belirlemede ve risk yönetiminde β katsayısından yararlanırlar. Benzer şekilde, araştırmacılar da nispi risk belirleme, modellerin test edilmesi gibi konularda β katsayını kullanırlar. Yapılan çalışmalarda ortaya konduğu üzere, β katsayıları zaman içinde istikrarlı değildir. Dolayısıyla, β katsayılarının zaman içindeki değişkenliği uygulamada önemli problemler yaratabilir. β katsayılarının değişkenliği göz ardı edilirse yatırımcılar yanlış kararlar almalarına neden olabilir. Bu çalışmada, β katsayısı tahmini için düzeltme yöntemleri önerilmiştir. Çalışma bulguları önerilen yöntemlerin daha doğru tahmin sonuçları verdiğini göstermektedir.

Beta tahmini için düzeltme gerekli mi?

The CAPM beta (β) is a parameter, which plays a central role in modern finance as a measure of an asset’s systematic risk. Practitioners rely on beta estimates when estimating costs of capital, applying various valuation models, determining portfolio strategies and implementing risk management techniques. Researchers also rely on beta estimates for many applications such as determining relative risk, testing asset pricing models, testing trading strategies and conducting event studies. As evidenced, betas are not stable over time. Hence, the instability of betas over time leads to important practical problems. If nonstationarity of βs is ignored, investors may make significant mistakes resulting in underestimating or overestimating systematic risk. In this study, we have proposed two correction methods for beta estimation. Findings of our study suggest that proposed correction methods seem to provide accurate beta estimates.

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