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Adjusted Betas Under Reference-Day Risk

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  • Marcelo Gonzalez
  • Arturo Rodriguez
  • Roberto Stein

Abstract

Our article analyzes the performance of different methods to adjust beta. Specifically, we compare the standard ordinary least squares (OLS) regression method with the Blume and t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.

Suggested Citation

  • Marcelo Gonzalez & Arturo Rodriguez & Roberto Stein, 2014. "Adjusted Betas Under Reference-Day Risk," The Engineering Economist, Taylor & Francis Journals, vol. 59(1), pages 79-88, January.
    • Handle: RePEc:taf:uteexx:v:59:y:2014:i:1:p:79-88
    DOI: 10.1080/0013791X.2013.855855
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    Cited by:

    1. Christopher Baker & Kanshukan Rajaratnam & Emlyn James Flint, 2016. "Beta estimates of shares on the JSE Top 40 in the context of reference-day risk," Environment Systems and Decisions, Springer, vol. 36(2), pages 126-141, June.
    2. Joe Hirschberg & Jenny Lye, 2021. "Estimating risk premiums for regulated firms when accounting for reference-day variation and high-order moments of return volatility," Environment Systems and Decisions, Springer, vol. 41(3), pages 455-467, September.

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