Systematic (CAPM beta) risk forecasting for long horizons, such as one year, play an important role in financial management. This paper evaluates a variety of beta forecasting procedures for long forecast horizons. The widely utilized Fama-MacBeth approach based on five years of monthly returns...

Analysis with high frequency returns has become a core part of modern financial econometrics. Particularly in the measurement and forecasting of variance, covariance, correlation and Capital Asset Pricing Model (CAPM) beta. This paper studies CAPM beta measurement and forecasting with high...