The Institute of Finance at PUEB is pleased to announce the 3rd Online Seminar in Finance.

Speaker: Fabian Hollstein, Saarland University

Date: October 14th, 2022, 11:00 (Warsaw time)

Title: Estimating Stock Market Betas via Machine Learning

Abstract: This paper evaluates the predictive performance of machine learning techniques in estimating time-varying betas of US stocks. Compared to established estimators, tree-based models and neural networks outperform from both a statistical and an economic perspective. Random forests perform the best overall. Machine learning-based estimators provide the lowest forecast errors. Moreover, unlike traditional approaches, they lead to truly ex-post market-neutral portfolios. The inherent model complexity is strongly time-varying. The most important predictors are various historical betas as well as fundamental turnover and size signals. Compared to linear regressions, interactions and nonlinear effects enhance the predictive performance substantially.

Speaker’s bio: Fabian Hollstein is Professor of Quantitative Methods in Economics and Finance at Saarland University. He completed his Ph.D. at Leibniz University Hannover;  before moving to Saarland University was working at Leibniz University Hannover. His main research interest is understanding prices and risk premia in financial markets. Research topics include, among others, beta estimation, risk premia in financial markets, and international finance. His papers have been published, for example, in Journal of Financial and Quantitative Analysis, Management Science, and Journal of Banking and Finance.

To register please click here: https://forms.gle/fvW7m9RQ8p46aBf69.*

Registration deadline: October 11th, 20:00 (Warsaw time). The invitation to the Teams webinar will be sent on October 12th.

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