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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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.

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