Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Estimating Stock Market Betas via Machine Learning
Wolfgang Drobetz, Fabian Holstein, Tizian Otto, and Marcel Prokopczuk ♦ Machine learning-based market beta estimators outperform established benchmark models both statistically and economically. Analyzing the predictability of time-varying market betas of U.S. stocks, we document that machine learning-based estimators produce…