Predicting Betas: Two new methods

  1. Esteban González, María Victoria
  2. Tusell Palmer, Fernando Jorge
Zeitschrift:
Documentos de Trabajo BILTOKI

ISSN: 1134-8984

Datum der Publikation: 2009

Nummer: 1

Art: Arbeitsdokument

DIALNET GOOGLE SCHOLAR lock_openADDI editor

Andere Publikationen in: Documentos de Trabajo BILTOKI

Zusammenfassung

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.

Fuente de los datos: Dialnet