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An Analysis of the Forecast Error Impact of Alternative Beta Adjustment Techniques and Risk Classes

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  • Eubank, Arthur A, Jr
  • Zumwalt, J Kenton

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  • 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.
    • Handle: RePEc:bla:jfinan:v:34:y:1979:i:3:p:761-76
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    Cited by:

    1. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
    2. Gabriel A. Hawawini & Ashok Vora, 1982. "Investment Horizon, Diversification, And The Efficiency Of Alternative Beta Forecasts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 1-15, March.
    3. Sinha, Pankaj & Jayaraman, Prabha, 2012. "Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques," MPRA Paper 37662, University Library of Munich, Germany.
    4. Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2014. "Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE," Folia Oeconomica Stetinensia, Sciendo, vol. 14(2), pages 270-286, December.
    5. 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.
    6. Petranov, Stefan, 2008. "Оценка На Бета Коефициентите На Публични Дружества В България [Estimation of Beta Coefficients for Publicly Traded Companies in Bulgaria]," MPRA Paper 88385, University Library of Munich, Germany.
    7. Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," JRFM, MDPI, vol. 4(1), pages 1-23, December.
    8. Dębski Wiesław & Feder-Sempach Ewa & Świderski Bartosz, 2016. "Beta Stability Over Bull and Bear Market on the Warsaw Stock Exchange," Folia Oeconomica Stetinensia, Sciendo, vol. 16(1), pages 75-92, December.
    9. Stephen Gray & Jason Hall & Drew Klease & Alan McCrystal, 2009. "Bias, stability, and predictive ability in the measurement of systematic risk," Accounting Research Journal, Emerald Group Publishing Limited, vol. 22(3), pages 220-236, November.

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