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Additional Evidence On the Abatement of Errors In Predicting Beta Through Increases In Portfolio Size and On the Regression Tendency

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  • Taylor W. Foster
  • Don R. Hansen
  • Don W. Vickrey

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  • Taylor W. Foster & Don R. Hansen & Don W. Vickrey, 1988. "Additional Evidence On the Abatement of Errors In Predicting Beta Through Increases In Portfolio Size and On the Regression Tendency," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 15(2), pages 185-197, June.
    • Handle: RePEc:bla:jbfnac:v:15:y:1988:i:2:p:185-197
    DOI: 10.1111/j.1468-5957.1988.tb00129.x
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    References listed on IDEAS

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    1. Garbade, Kenneth & Rentzler, Joel, 1981. "Testing the Hypothesis of Beta Stationarity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 577-587, October.
    2. Beaver, William & Manegold, James, 1975. "The Association between Market-Determined and Accounting-Determined Measures of Systematic Risk: Some Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(2), pages 231-284, June.
    3. Roger P. Bey, 1983. "The Market Model As An Appropriate Description Of The Stochastic Process Generating Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 275-288, December.
    4. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    5. Blume, Marshall E & Friend, Irwin, 1973. "A New Look at the Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 28(1), pages 19-33, March.
    6. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    7. 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.
    8. Porter, R. Burr & Ezzell, John R., 1975. "A note on the predictive ability of beta coefficients," Journal of Business Research, Elsevier, vol. 3(4), pages 365-372, October.
    9. Bey, Roger P., 1983. "Market Model Stationarity of Individual Public Utilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 67-85, March.
    10. Harrison, T, 1977. "Different Market Reactions To Discretionary And Non-Discretionary Accounting Changes," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 15(1), pages 84-107.
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