Collins, Daniel W Ledolter, Johannes Rayburn, Judy Dawson
Abstract
Although there is consensus in the finance literature that the beta risk of equity securities is stochastic, there is considerable disagreement as to whether the var iation is purely random or exhibits autocorrelation through time. To investigate this issue, the authors employ a model that allows beta t o exhibit both random and autoregressive behavior simultaneously. The y test this model against alternative specifications on a large sampl e of individual securities and randomly formed portfolios comprising 10, 50, and 100 securities. Results are also presented for portfolios formed according to firm size. Copyright 1987 by the University of Chicago.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
Mª Victoria Esteban González & Fernando Tusell Palmer, 2009.
"Predicting Betas: Two new methods,"
BILTOKI
200901, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
[Downloadable!]