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Mean reversion and the forecasting of country betas: a note

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  • Gangemi, Michael
  • Brooks, Robert
  • Faff, Robert

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  • 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.
    • Handle: RePEc:eee:glofin:v:10:y:1999:i:2:p:231-245
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    2. Robert Brooks & Robert Faff, 1997. "A note on beta forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 77-78.
    3. Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
    4. Blume, Marshall E, 1979. "Betas and Their Regression Tendencies: Some Further Evidence," Journal of Finance, American Finance Association, vol. 34(1), pages 265-267, March.
    5. Francis Boabang, 1996. "An Adjustment Procedure for Predicting Betas When Thin Trading is Present: Canadian Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(9-10), pages 1333-1356, December.
    6. Eubank, Arthur A, Jr & Zumwalt, J Kenton, 1979. "An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes," Journal of Finance, American Finance Association, vol. 34(3), pages 761-776, June.
    7. Brenner, Menachem & Smidt, Seymour, 1977. "A Simple Model of Non-Stationarity of Systematic Risk," Journal of Finance, American Finance Association, vol. 32(4), pages 1081-1092, September.
    8. Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 293-305, September.
    9. Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise R, 1997. "Business Cycles for G7 and European Countries," The Journal of Business, University of Chicago Press, vol. 70(2), pages 249-279, April.
    10. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    11. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    12. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    13. Francis, Jack Clark, 1979. "Statistical Analysis of Risk Surrogates for Nyse Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 981-997, December.
    14. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 101-116, March.
    15. Koutmos, Gregory & Lee, Unro & Theodossiu, Panayiotis, 1994. "Time-varying betas and volatility persistence in International Stock markets," Journal of Economics and Business, Elsevier, vol. 46(2), pages 101-112, May.
    16. K. Giannopoulos, 1995. "Estimating the time Varying Components of international stock markets' risk," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 129-164.
    17. Klemkosky, Robert C & Martin, John D, 1975. "The Adjustment of Beta Forecasts," Journal of Finance, American Finance Association, vol. 30(4), pages 1123-1128, September.
    18. Dimson, E & Marsh, P R, 1983. "The Stability of UK Risk Measures and the Problem of Thin Trading," Journal of Finance, American Finance Association, vol. 38(3), pages 753-783, June.
    19. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    20. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, in: The Internationalization of Equity Markets, pages 23-58, National Bureau of Economic Research, Inc.
    21. Harvey, Campbell R, 1991. "The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-157, March.
    22. Vasicek, Oldrich A, 1973. "A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas," Journal of Finance, American Finance Association, vol. 28(5), pages 1233-1239, December.
    23. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    24. Kolb, Robert W & Rodriguez, Ricardo J, 1989. "The Regression Tendencies of Betas: A Reappraisal," The Financial Review, Eastern Finance Association, vol. 24(2), pages 319-334, May.
    25. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," The Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
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    3. Howard, Stacia & Craigwell, Roland, 2010. "Convergence of Caribbean Stock Exchanges," MPRA Paper 40930, University Library of Munich, Germany.

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