In this methodology case study, conjoint analysis is used to determine the importance of factors that influence international capital budgeting decisions by multinational corporations. Finance directors from some of the world's largest multinationals evaluated investment opportunities in...

Recent advances in covariance and variance estimators coupled with improvements in the quality of intra-day data have made possible more precise measurement of beta (systematic risk). In this paper we examine the forecastability of monthly betas for Dow Jones stocks. The out-of-sample...

The purpose of this paper is to compare a series of models to forecast beta, a fundamental parameter in finance. Realized measures of asset return covariance and variance are computed and applied to forecast beta following Andersen, Bollerslev, Diebold and Wu (2005a and 2005b). This approach is...