THE ADJUSTMENT OF BETA FORECASTS

摘要: THE BETA COEFFICIENT of the market model has gained wide acceptance as a relevant measure risk in portfolio and security analysis. An essential prerequisite for using beta to assess future return is reasonable degree predictability over time periods. If manager cannot predict coefficients, applicability this phase modern capital-market theory somewhat restricted. Attempts betas extrapolative models have met with only limited success, especially individual securities. Blume [1] Levy [2] found that single coefficients one period were not good predictors corresponding subsequent period. However, size was increased, stationarity extrapolated improved significantly. A major problem both tendency relatively high low overpredict underpredict, respectively, Thus, forecasting accuracy grew progressively worse levels departed significantly from