Predicting Betas: Two new methods

Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct generalization of the method in Blume (1975), and the second is based on Procrustes rotation in phase space. We compare their performance with various competitors and draw some conclusions.

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Year of publication:	2009
Authors:	Palmer, Tusell ; Jorge, Fernando ; González, Esteban ; Victoria, María
Institutions:	Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales
Subject:	systematic risk \| beta coefficients \| risk prediction \| Procustes rotation

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Extent:	application/pdf
Series:	BILTOKI.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Biltoki 2009.01 Number 2009-01
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005650104