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Predicting Betas: Two new methods

dc.contributor.authorEsteban González, María Victoria ORCID
dc.contributor.authorTusell Palmer, Fernando Jorge ORCID
dc.date.accessioned2011-12-21T19:37:49Z
dc.date.available2011-12-21T19:37:49Z
dc.date.issued2009
dc.identifier.issn1134-8984
dc.identifier.urihttp://hdl.handle.net/10810/5581
dc.description.abstractBetas 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.es
dc.description.sponsorshipThis research was partially supported by grant IT-321-07 from the Gobierno Vasco and ECO 2008-00777/ECON from Ministerio de Ciencia e Innovación.es
dc.language.isoenges
dc.relationinfo:eu-repo/grantAgreement/MICINN/ECO2008-00777-ECON
dc.relation.ispartofseriesBiltoki 2009.01
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectrisk predictiones
dc.subjectsystematic riskes
dc.subjectbeta coefficientses
dc.subjectProcustes rotationes
dc.titlePredicting Betas: Two new methodses
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG11
dc.subject.jelG12
dc.subject.jelG17
dc.identifier.repecRePEc:ehu:biltok:200901es
dc.departamentoesEconomía aplicada III (Econometría y Estadística)es_ES
dc.departamentoeuEkonomia aplikatua III (ekonometria eta estatistika)es_ES
dc.subject.categoriaFINANCIAL ECONOMICS


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported