Seminar 217, Risk Management: Estimating Stock Market Betas via Machine Learning

Seminar 217, Risk Management: Estimating Stock Market Betas via Machine Learning

Risk Seminar
Oct 18, 2022, 11:00 AM - 12:30 PM | 648 Evans Hall | Happening As Scheduled
Tizian Otto, University of Hamburg (visiting Stanford University) (Speaker - Featured)

This paper evaluates the predictive performance of machine learning techniques in estimating time-varying market betas of U.S. stocks. Compared to established estimators, machine learning-based approaches outperform from both a statistical and an economic perspective. They provide the lowest forecast errors and lead to truly ex-post market-neutral portfolios. Among the different techniques,...