Access the full text.
Sign up today, get DeepDyve free for 14 days.
(1969)
Jacob Mincer and Victor Zarnowitz . " The Evaluation of Economic Forecasts , " in Jacob Mincer
R. Levy (1971)
On the Short-Term Stationarity of Beta CoefficientsFinancial Analysts Journal, 27
(1969)
The Evaluation of Economic Forecasts," in Jacob Mincer, ed., Economic Forecasts and Expectations
Blume (1971)
On the Assessment of RiskJournal of Finance, 26
Blume . " On the Assessment of Risk
Vasicek Vasicek (December 1973)
“A Note on Using Cross‐Sectional Information in Bayesian Estimation of Security Betas,”Journal of Finance, 28
SEPTEMBER 1975 THE ADJUSTMENT OF BETA FORECASTS ROBERT C. KLEMKOSKY AND JOHN D. MARTIN* THE BETA COEFFICIENT of the market model has gained wide acceptance as a relevant measure of risk in portfolio and security analysis. An essential prerequisite for using beta to assess future portfolio risk and return is a reasonable degree of predictability over future time periods. If the portfolio manager cannot predict future beta coefficients, the applicability of this phase of modern capital-market theory is somewhat restricted. Attempts to predict betas using extrapolative models have met with only limited success, especially for individual securities. Blume [1] and Levy [2] found that single security beta coefficients of one period were not good predictors of the corresponding betas in the subsequent period. However, as portfolio size was increased, the stationarity of extrapolated betas improved significantly. A major problem for both single security and portfolio betas was the tendency for relatively high and low beta coefficients to overpredict and underpredict, respectively, the corresponding betas for the subsequent time period. Thus, forecasting accuracy grew progressively worse as beta levels departed significantly from the average. The objectives of this note are to investigate the source of forecast errors of extrapolated
The Journal of Finance – Wiley
Published: Sep 1, 1975
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.