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The Adjustment of Beta Forecasts

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  • Klemkosky, Robert C
  • Martin, John D
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 30 (1975)
    Issue (Month): 4 (September)
    Pages: 1123-28

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    Handle: RePEc:bla:jfinan:v:30:y:1975:i:4:p:1123-28

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    Cited by:
    1. Bartholdy, Jan & Peare, Paula, 2005. "Estimation of expected return: CAPM vs. Fama and French," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 407-427.
    2. Gangemi, Michael & Brooks, Robert & Faff, Robert, 1999. "Mean reversion and the forecasting of country betas: a note," Global Finance Journal, Elsevier, vol. 10(2), pages 231-245.
    3. Nawazish Mirza & Daniel Danny Simatupang, 2004. "Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 9(1), pages 149-173, Jan-June.
    4. Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 74-96, December.
    5. Nawazish Mirza & Ghalia Shabbir, 2005. "The Death of CAPM: A Critical Review," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(2), pages 35-54, Jul-Dec.
    6. Choudhry, Taufiq, 2005. "Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms," Pacific-Basin Finance Journal, Elsevier, vol. 13(1), pages 93-118, January.
    7. Sinha, Pankaj & Jayaraman, Prabha, 2012. "Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques," MPRA Paper 37662, University Library of Munich, Germany.
    8. Kaplan, Steven N & Ruback, Richard S, 1995. " The Valuation of Cash Flow Forecasts: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 50(4), pages 1059-93, September.
    9. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    10. Choudhry, Taufiq & Lu, Lin & Peng, Ke, 2010. "Time-varying beta and the Asian financial crisis: Evidence from the Asian industrial sectors," Japan and the World Economy, Elsevier, vol. 22(4), pages 228-234, December.
    11. Wittkemper, Hans-Georg & Steiner, Manfred, 1996. "Using neural networks to forecast the systematic risk of stocks," European Journal of Operational Research, Elsevier, vol. 90(3), pages 577-588, May.
    12. Stephen Gray, & Jason Hall & Drew Kleas & Alan McCrystal, 2009. "Bias, stability, and predictive ability in the measurement of systematic risk," Accounting Research Journal, Emerald Group Publishing, vol. 22(3), pages 220-236, November.

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