Search Results - subject:"Beta estimation"

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

.e., betas. We study the effect of different data sampling frequencies, forecast adjustments, and model combinations for beta … estimation. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator …

Persistent link: https://www.econbiz.de/10011776722

How to estimate beta?

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

Persistent link: https://www.econbiz.de/10011751164

The Predictive Ability of the Historic Beta of Hotel Stocks in the 2008 Market Downturn

Bloom, Barry - 2009

This study investigates the performance of hotel common stocks relative to specific market indices and assess whether or not historic Beta was an appropriate measurement of future risk for hotel stocks in the market downturn of 2008. Using three different measurements of Beta, the study finds...

Persistent link: https://www.econbiz.de/10009467957

Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange

Muradoglu, Gulnur; Zaman, Asad; Orhan, Mehmet - Volkswirtschaftliche Fakultät, … - 2003

The systematic risk of IPO’s in the thinly traded Istanbul Stock Exchange (ISE) are estimated using Empirical Bayes Estimators (EBE). The sectors that the firms belong to, provide the priors. Comparisons are made with OLS estimators across different estimation and forecasting periods. Two...

Persistent link: https://www.econbiz.de/10005789479