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Applied Economics Letters Volume 4, 1997 - Issue 2
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Original Articles

A note on beta forecasting

Robert D. Brooks Department of Economics and Finance, Royal Melbourne Institute of Technology
&
Robert W. Faff Department of Economics and Finance, Royal Melbourne Institute of Technology
Pages 77-78 | Received 02 Apr 1996, Published online: 02 Nov 2006

References

  • Blume , M. E. 1971 . On the assessment of risk . Journal of Finance , 26 : 1 – 10 .
  • Blume , M. E. 1975 . Betas and their regression tendencies . Journal of Finance , 30 : 785 – 95 .
  • Castagna , A. D. and Matolcsy , Z. P. 1978 . The relationship between accounting variables and systematic risk and the prediction of systematic risk . Australian Journal of Management , 3 : 113 – 26 .
  • Murphy , J. 1990 . Using Bayesian betas to estimate risk-return parameters: an empirical investigation . Journal of Business Finance and Accounting , 17 : 471 – 77 .
  • Murray , L. 1995 . An examination of beta estimation using daily Irish data . Journal of Business Finance and Accounting , 22 : 893 – 906 .
  • Statman , M. 1981 . Betas compared: Merill Lynch verses Value Line . Journal of Portfolio Management , 7 : 41 – 44 .
  • Ushman , N. 1987 . A comparison of cross-sectional and time-series beta adjustment techniques . Journal of Business Finance and Accounting , 14 : 355 – 75 .
  • Vasicek , O. 1973 . A note on using cross-sectional information in Bayesian estimation of security betas . Journal of Finance , 28 : 1233 – 39 .

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