Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9731462 | The Quarterly Review of Economics and Finance | 2005 | 22 Pages |
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ling T. He,