کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9731462 | 1480484 | 2005 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions Instability and predictability of factor betas of industrial stocks: The Flexible Least Squares solutions](/preview/png/9731462.png)
چکیده انگلیسی
By using the Flexible Least Squares (FLS) method, this study traces out month-to-month alterations in factor betas. The time variation paths of factor betas reveal time-varying correlations between different factor betas. Moreover, the FLS method is found to be able to produce more accurate and stable forecasts of industry costs of equity than rolling regressions and other methods, in terms of smaller forecasting errors and standard deviation of forecasting errors, thanks to the better estimates of factor betas.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4â5, September 2005, Pages 619-640
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4â5, September 2005, Pages 619-640
نویسندگان
Ling T. He,