Munich Personal RePEc Archive

Forward-Looking Beta Estimates:Evidence from an Emerging Market

Onour, Ibrahim (2008): Forward-Looking Beta Estimates:Evidence from an Emerging Market.

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Results in this paper support evidence of time-varying beta coefficients for five sectors in Kuwait Stock Market. The paper indicates banks, food, and service sectors exhibit relatively wider range of variation compared to industry and real estate sectors. Results of time-varying betas invalidate the standard application of Capital Asset Pricing model that assumes constant beta. In terms of risk exposure, banks and industrial sectors reflect higher risk as their average betas exceed the market beta, which is a unit.

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