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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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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 10 (1999)
Issue (Month): 2 ()
Pages: 231-245

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Handle: RePEc:eee:glofin:v:10:y:1999:i:2:p:231-245

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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  1. 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.
  2. 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(03), pages 293-305, September.
  3. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
  4. 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 249-79, April.
  5. Francis, Jack Clark, 1979. "Statistical Analysis of Risk Surrogates for Nyse Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 981-997, December.
  6. 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.
  7. Blume, Marshall E, 1979. "Betas and Their Regression Tendencies: Some Further Evidence," Journal of Finance, American Finance Association, vol. 34(1), pages 265-67, March.
  8. Robert Brooks & Robert Faff, 1997. "A note on beta forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 77-78.
  9. Klemkosky, Robert C & Martin, John D, 1975. "The Adjustment of Beta Forecasts," Journal of Finance, American Finance Association, vol. 30(4), pages 1123-28, September.
  10. Elroy Dimson and Paul Marsh., 1981. "The Stability of UK Risk Measures and the Problem of Thin Trading," Research Program in Finance Working Papers 120, University of California at Berkeley.
  11. 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.
  12. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Working Papers 4657, National Bureau of Economic Research, Inc.
  13. 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.
  14. Kolb, Robert W & Rodriguez, Ricardo J, 1989. "The Regression Tendencies of Betas: A Reappraisal," The Financial Review, Eastern Finance Association, vol. 24(2), pages 319-34, May.
  15. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
  16. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
  17. 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 761-76, June.
  18. Harvey, Campbell R, 1991. " The World Price of Covariance Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 111-57, March.
  19. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
  20. 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.
  21. 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.
  22. 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.
  23. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
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Cited by:
  1. Howard, Stacia & Craigwell, Roland, 2010. "Convergence of Caribbean Stock Exchanges," MPRA Paper 40930, University Library of Munich, Germany.
  2. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS

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