Predicting Betas: Two new methods
ISSN: 1134-8984
Année de publication: 2009
Número: 1
Type: Working Paper
D'autres publications dans: Documentos de Trabajo BILTOKI
Résumé
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.