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Variation and efficiency of high-frequency betas

Publication ,  Journal Article
Zhang, C; Li, J; Todorov, V; Tauchen, G
Published in: Journal of Econometrics
May 1, 2022

This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop an adaptive estimator that attains the efficiency bound. We further propose a Hausman type test for deciding whether the common beta assumption is true from the high-frequency data. In our empirical analysis we provide examples of stocks and time periods for which a common market beta assumption appears true and ones for which this is not the case. We further quantify empirically the gains from the efficient common beta estimation developed in the paper.

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Published In

Journal of Econometrics

DOI

EISSN

1872-6895

ISSN

0304-4076

Publication Date

May 1, 2022

Volume

228

Issue

1

Start / End Page

156 / 175

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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Zhang, C., Li, J., Todorov, V., & Tauchen, G. (2022). Variation and efficiency of high-frequency betas. Journal of Econometrics, 228(1), 156–175. https://doi.org/10.1016/j.jeconom.2020.05.022
Zhang, C., J. Li, V. Todorov, and G. Tauchen. “Variation and efficiency of high-frequency betas.” Journal of Econometrics 228, no. 1 (May 1, 2022): 156–75. https://doi.org/10.1016/j.jeconom.2020.05.022.
Zhang C, Li J, Todorov V, Tauchen G. Variation and efficiency of high-frequency betas. Journal of Econometrics. 2022 May 1;228(1):156–75.
Zhang, C., et al. “Variation and efficiency of high-frequency betas.” Journal of Econometrics, vol. 228, no. 1, May 2022, pp. 156–75. Scopus, doi:10.1016/j.jeconom.2020.05.022.
Zhang C, Li J, Todorov V, Tauchen G. Variation and efficiency of high-frequency betas. Journal of Econometrics. 2022 May 1;228(1):156–175.
Journal cover image

Published In

Journal of Econometrics

DOI

EISSN

1872-6895

ISSN

0304-4076

Publication Date

May 1, 2022

Volume

228

Issue

1

Start / End Page

156 / 175

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics