Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory … models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory … properties. For the vast majority of stocks, we reject both the short-memory and difference-stationary (random walk) alternatives …