Beta estimates of shares on the JSE Top 40 in the context of reference-day risk

Show simple item record Baker, Christopher Rajaratnam, Kanshukan Flint, Emlyn James 2017-03-17T09:56:29Z 2016-06
dc.description.abstract A topic of interest in the finance world is measuring systematic risk. Accurately measuring the systematic risk component - or Beta - of an asset or portfolio is important in many financial applications. In this work, we consider the effciency of a range of Beta estimation methods commonly used in practice from a reference-day risk perspective. We show that, when using the industry standard data sample of fi ve years of monthly returns, the choice of reference- day used to calculate underlying returns has a signifi cant impact on all of the Beta estimation methods considered. Driven by this finding, we propose and test an alternative non-parametric bootstrap approach for calculating Beta estimates which is unaffected by reference-day risk. Our primary goal is to determine a point-estimate of Beta, independent of reference-day. Keywords: reference-day risk, bootstrap, systematic risk, Beta. en_ZA
dc.description.department Mathematics and Applied Mathematics en_ZA
dc.description.embargo 2017-06-30
dc.description.librarian hb2017 en_ZA
dc.description.sponsorship The National Research Foundation (NRF) of South Africa and the University of Cape Town Research Office through the Research Development Grant and the Conference Travel Grant. en_ZA
dc.description.uri en_ZA
dc.identifier.citation Baker, C, Rajaratnam, K & Flint, EJ 2016, 'Beta estimates of shares on the JSE Top 40 in the context of reference-day risk', Environment Systems and Decisions, vol. 36, no. 2, pp. 126-141. en_ZA
dc.identifier.issn 2194-5403 (print)
dc.identifier.issn 2194-5411 (online)
dc.identifier.other 10.1007/s10669-016-9595-4
dc.language.iso en en_ZA
dc.publisher Springer en_ZA
dc.rights © Springer Science+Business Media New York 2016. The original publication is available at : en_ZA
dc.subject Reference-day risk en_ZA
dc.subject Bootstrap en_ZA
dc.subject Systematic risk en_ZA
dc.subject Beta en_ZA
dc.title Beta estimates of shares on the JSE Top 40 in the context of reference-day risk en_ZA
dc.type Postprint Article en_ZA

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