| Author: | Groenewold, N. Fraser, P. |
| Title: | Forecasting Beta: how well does the "Five-year rule of thumb" do? |
| Journal: | Journal of Business Finance and Accounting
2000 : SEP-OCT, VOL. 27:7&8, p. 953-982 |
| Index terms: | BETA FACTOR FORECASTING EQUATIONS |
| Language: | eng |
| Abstract: | CAPM betas are generally estimated from historical data and applied to a future period. There is widespread evidence that the CAPM betas vary considerably over time and this raises two questions: can this variation be explained and can it be forecast better than the "five-year rule of thumb" (i.e. using the most recently estimated beta?). The authors estimate time-varying betas and explain the time-variation in the betas using regression models which are subsequently used for forecasting. |
SCIMA