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英文文献：Forward-Looking Betas-前瞻性的贝塔
英文文献作者：Peter Christoffersen,Kris Jacobs,Gregory Vainberg
英文文献摘要：
Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all backward-looking. This paper introduces a radically different approach to estimating market betas. Using the tools in Bakshi and Madan (2000) and Bakshi, Kapadia and Madan (2003) we employ the information embedded in the prices of individual stock options and index options to compute our forward-looking market beta at the daily frequency. This beta can be computed using option data for a single day, and is able to reflect sudden changes in the structure of the underlying company. Based on an empirical investigation of daily cross-sections of option contracts on thirty underlying companies, we conclude that these forward-looking betas contain information relevant for forecasting future betas that is not contained in historical betas.
在金融实践中，很少有问题比市场贝塔的计算更重要。现有的方法使用历史数据来计算市场贝塔值。虽然这些方法在统计复杂程度和贝塔中时间变化的建模方面不同，但它们都是向后看的。本文介绍了一种完全不同的评估市场贝塔值的方法。使用Bakshi and Madan(2000)和Bakshi, Kapadia and Madan(2003)的工具，我们使用嵌入在个别股票期权和指数期权价格中的信息，以每日频率计算我们的前瞻性市场beta。这个测试版可以使用一天的期权数据计算，并能够反映标的公司结构的突然变化。基于对30家标的公司期权合约每日横断面的实证调查，我们认为这些前瞻性的贝塔包含了与预测未来贝塔相关的信息，而这些信息在历史贝塔中是不包含的。
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