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Abstract: The Forecast Error Impact of Alternative Length Beta Estimation Periods, Adjustment Techniques, and Risk Classes

Published online by Cambridge University Press:  19 October 2009

Arthur A. Eubank Jr.  and
J. Kenton Zumwalt
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Extract

This paper examines empirically the relationship among the stability of security and portfolio betas and (1) the length of the sample period used to calculate betas, (2) beta adjustment techniques, and (3) beta magnitudes. Beta values are forecast using four models: (1) a naive model which assumes the beta value in period t + 1 is the same as in period t, (2) Blume's regression model, (3) a regression model used by Merrill Lynch, Pierce, Fenner and Smith, and (4) a Bayesian procedure suggested by Vasicek.

Type
Abstracts of Conference Papers: Estimation Risk and Investment Strategies
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 4 , November 1977 , pp. 671
Copyright
Copyright © School of Business Administration, University of Washington 1977

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