Predicting Betas: Two new methods

Esteban González, María Victoria; Tusell Palmer, Fernando Jorge

dc.contributor.author	Esteban González, María Victoria
dc.contributor.author	Tusell Palmer, Fernando Jorge
dc.date.accessioned	2011-12-21T19:37:49Z
dc.date.available	2011-12-21T19:37:49Z
dc.date.issued	2009
dc.identifier.issn	1134-8984
dc.identifier.uri	http://hdl.handle.net/10810/5581
dc.description.abstract	Betas 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.sponsorship	This 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.iso	eng	es
dc.relation	info:eu-repo/grantAgreement/MICINN/ECO2008-00777-ECON
dc.relation.ispartofseries	Biltoki 2009.01
dc.rights	info:eu-repo/semantics/openAccess	es
dc.rights.uri	http://creativecommons.org/licenses/by-nc-sa/3.0/	*
dc.subject	risk prediction	es
dc.subject	systematic risk	es
dc.subject	beta coefficients	es
dc.subject	Procustes rotation	es
dc.title	Predicting Betas: Two new methods	es
dc.type	info:eu-repo/semantics/workingPaper	es
dc.rights.holder	Attribution-NonCommercial-ShareAlike 3.0 Unported	*
dc.subject.jel	G11
dc.subject.jel	G12
dc.subject.jel	G17
dc.identifier.repec	RePEc:ehu:biltok:200901	es
dc.departamentoes	Economía aplicada III (Econometría y Estadística)	es_ES
dc.departamentoeu	Ekonomia aplikatua III (ekonometria eta estatistika)	es_ES
dc.subject.categoria	FINANCIAL ECONOMICS

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