Predicting Betas: Two new methods

• Autores: María Victoria Esteban González, Fernando Jorge Tusell Palmer
• Localización: Documentos de Trabajo BILTOKI, ISSN-e 1134-8984, Nº. 1, 2009
• Idioma: inglés
• Enlaces
  • Texto completo
• Resumen

  • 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.