Predicting Betas: Two new methods

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

ISSN: 1134-8984

Argitalpen urtea: 2009

Zenbakia: 1

Mota: Laneko dokumentua

DIALNET GOOGLE SCHOLAR lock_openADDI editor

Beste argitalpen batzuk: Documentos de Trabajo BILTOKI

Laburpena

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.

Datuen iturria: Dialnet