IDEAS home Printed from https://ideas.repec.org/p/uwa/wpaper/99-01.html
   My bibliography  Save this paper

Forecasting Beta: How well does the 'five year rule of thumb' do?

Author

Listed:
  • N. Groenewold
  • P. Fraser

Abstract

No abstract is available for this item.

Suggested Citation

  • N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
  • Handle: RePEc:uwa:wpaper:99-01
    as

    Download full text from publisher

    File URL: http://ecompapers.biz.uwa.edu.au/paper/PDF%20of%20Discussion%20Papers/1999/99-01.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May.
    2. Hawawini, Gabriel A. & Michel, Pierre A. & Corhay, Albert, 1985. "New evidence on beta stationarity and forecast for belgian common stocks," Journal of Banking & Finance, Elsevier, vol. 9(4), pages 553-560, December.
    3. R.W. Faff & R.D. Brooks, 1998. "Time‐varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 25(5‐6), pages 721-745, June.
    4. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    5. McDonald, Bill, 1983. " Beta Nonstationarity and the Use of the Chen and Lee Estimator: A Note," Journal of Finance, American Finance Association, vol. 38(3), pages 1005-1009, June.
    6. 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.
    7. Robert Brooks & Robert Faff & Thomas Josev, 1997. "Beta stability and monthly seasonal effects: evidence from the Australian capital market," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 563-566.
    8. Black, A. & Fraser, P. & Power, D., 1992. "UK unit trust performance 1980-1989: A passive time-varying approach," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 1015-1033, September.
    9. Gonzalez-Rivera, Gloria, 1997. "The Pricing of Time-Varying Beta," Empirical Economics, Springer, vol. 22(3), pages 345-363.
    10. Alexander, Gordon J. & Chervany, Norman L., 1980. "On the Estimation and Stability of Beta," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 123-137, March.
    11. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    12. 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.
    13. Fisher, Lawrence & Kamin, Jules H., 1985. "Forecasting Systematic Risk: Estimates of “Raw†Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(2), pages 127-149, June.
    14. Young, S. David & Berry, Michael A. & Harvey, David W. & Page, John R., 1991. "Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(4), pages 559-564, December.
    15. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    16. Collins, Daniel W & Ledolter, Johannes & Rayburn, Judy Dawson, 1987. "Some Further Evidence on the Stochastic Properties of Systematic Risk," The Journal of Business, University of Chicago Press, vol. 60(3), pages 425-448, July.
    17. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-184, January.
    18. 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.
    19. Chen, Son-Nan & Lee, Cheng F., 1982. "Bayesian and mixed estimators of time varying betas," Journal of Economics and Business, Elsevier, vol. 34(4), pages 291-301.
    20. Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
    21. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uwa:wpaper:99-01. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sam Tang). General contact details of provider: http://edirc.repec.org/data/deuwaau.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.