haku: @author Karolyi, G. A. / yhteensä: 7
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| Tekijä: | Karolyi, G. A. |
| Otsikko: | Fredicting risk: some new generalizations. |
| Lehti: | Management Science
1992 : JAN, VOL. 38:1, p. 57-74 |
| Asiasana: | RISK FORECASTING |
| Kieli: | eng |
| Tiivistelmä: | The beta coefficient of the market model is a widely accepted measure of risk in portfolio and security analysis. Existing adjustment techniques for forecasting systematic risk of individual firms were based on relatively uninformate prior knowledge about the cross-sectional distribution of risk estimates. Prior information is introduced in the form of size and industry-based cross-sectional distributions of risk estimates. Such information is incorporated into forecasts using generalized adjustment methods. The Bayesian shrinkage methods and their generalization can incorporate the information to yield additional forecast power. |
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