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Impact of alternative length estimation and prediction periods on the stability of security and portfolio betas

✍ Scribed by Arthur A. Eubank Jr.; J.Kenton Zumwalt

Book ID: 119080565
Publisher: Elsevier Science
Year: 1981
Tongue: English
Weight: 310 KB
Volume: 9
Category: Article
ISSN: 0148-2963
DOI: 10.1016/0148-2963(81)90025-4

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Beta-Moan-0.84118 STD -2 7 0 6 8 STD = 0.00570 0 9, Beta -Moan -0.94924 STD -0.06408 -Jj l ' I ' I ' I ' / ' l ' l ' I ' l ' l ' I ' l ' 1 ' I B Four-Week Ex Post Hedging Horizon 26 Week Estimation Period