期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2013
期号：7
页码：154-175
出版社：Instituto de Estudios Bursátiles
摘要：This paper investigates the time-varying properties of mutual fund betas. The study demonstrates that the fund beta is not constant and proposes various models to deter- mine the underlying structure of the daily time-series. These methods include the Kalman filter technique. In addition to the results of the model, we draw conclusions on additional factors affecting the variability of the beta. The seasonality of betas is confirmed and so the relationship between money flows and the variations in fund betas. A significant in- flow of money in the mutual fund entails a decrease in its beta value.
关键词：Fund beta; Kalman filter; Seasonality; Money flows; Active management.
