IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v5y1982i1p1-15.html
   My bibliography  Save this article

Investment Horizon, Diversification, And The Efficiency Of Alternative Beta Forecasts

Author

Listed:
  • Gabriel A. Hawawini
  • Ashok Vora

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:bla:jfnres:v:5:y:1982:i:1:p:1-15
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1982.tb00621.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    2. Hawawini, Gabriel A., 1980. "Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 139-149, March.
    3. Elgers, Pieter T & Haltiner, James R & Hawthorne, William H, 1979. "Beta Regression Tendencies: Statistical and Real Causes," Journal of Finance, American Finance Association, vol. 34(1), pages 261-263, March.
    4. 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.
    5. Blume, Marshall E, 1979. "Betas and Their Regression Tendencies: Some Further Evidence," Journal of Finance, American Finance Association, vol. 34(1), pages 265-267, March.
    6. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Juan Carlos Gutierrez Betancur, 2017. "Robust Estimation of beta and the hedging ratio in Stock Index Futures In the Integrated Latin American Market," Revista Ecos de Economía, Universidad EAFIT, vol. 21(44), pages 37-71, June.
    3. 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.
    4. Robert W. Kolb & Ricardo J. Rodriguez, 1990. "Is The Distribution Of Betas Stationary?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 279-283, December.
    5. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    6. 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.
    7. Dana J. Johnson & Richard E. Bennett & Richard J. Curcio, 1979. "A Note On The Deceptive Nature Of Bayesian Forecasted Betas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 65-69, March.
    8. 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.
    9. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
    10. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
    11. 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.
    12. Haoren Zhu & Pengfei Zhao & Wilfred Siu Hung NG & Dik Lun Lee, 2024. "Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns," Papers 2406.11886, arXiv.org.
    13. Chris Tofallis, 2011. "Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward," Papers 1109.4422, arXiv.org.
    14. Bruce N. Lehmann, 1986. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc.
    15. Nikolay Stoychev, 2002. "Financial assets: market behavior and profitability," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-92.
    16. Dmitry Bazhutov & André Betzer & Richard Stehle, 2023. "Beta estimation in the European network regulation context: what matters, what doesn’t, and what is indispensable," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 239-275, September.
    17. Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007. "Forward-Looking Betas," CREATES Research Papers 2007-39, Department of Economics and Business Economics, Aarhus University.
    18. Tofallis, Chris, 2008. "Investment volatility: A critique of standard beta estimation and a simple way forward," European Journal of Operational Research, Elsevier, vol. 187(3), pages 1358-1367, June.
    19. A Bilbao & M Arenas & M Jiménez & B Perez Gladish & M V Rodríguez, 2006. "An extension of Sharpe's single-index model: portfolio selection with expert betas," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 57(12), pages 1442-1451, December.

    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:bla:jfnres:v:5:y:1982:i:1:p:1-15. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.