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| Tekijä: | Gombola, M.J. Kahl, D.R. |
| Otsikko: | Time-series processes of utility betas: implications for forecasting systematic risk |
| Lehti: | Financial Management
1990 : AUTUMN, VOL. 19:3, p. 84-93 |
| Asiasana: | STOCK MARKETS INVESTMENT APPRAISAL RATE OF PROFIT |
| Kieli: | eng |
| Tiivistelmä: | Application of a Kalman filtering system to estimate the time series process followed by utility betas. Beta coefficient instability and rate-setting process. Auto-regressive variable. Model parameters. Results. Transient betas behaviour. Consolidated Edison dividend omission. Beta forecasting and rate setting. Four Exhibits illustrate the study. |
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