haku: @author Berglund, T. / yhteensä: 5
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| Tekijä: | Berglund, T. Knif, J. |
| Otsikko: | Accounting for the accuracy of beta estimates in CAPM tests on assets with time-varying risks |
| Lehti: | European Financial Management
1999 : MAR, VOL. 5:1, p. 29-42 |
| Asiasana: | FINANCIAL MANAGEMENT EUROPE ACCOUNTING |
| Kieli: | eng |
| Tiivistelmä: | This paper advocates two ways to make more efficient use of available information in reducing the bias of the risk premium estimate in two-pass tests of the CAPM. First, explicit modelling of the time-variability of betas can improve the accuracy of the beta forecasts. Second, the cross-sectional information available can be exploited more efficiently using individual stocks instead of portfolios provided that noisy beta predictions are given a smaller weight than more accurate ones. This paper proposes an adjustment of the cross-sectional regressions of excess returns against betas to give larger weights to more reliable beta forecasts. |
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