Hostname: page-component-7bb8b95d7b-dtkg6 Total loading time: 0 Render date: 2024-09-18T01:31:43.903Z Has data issue: false hasContentIssue false
  • English
  • Français

Dynamic Estimation of Portfolio Betas

Published online by Cambridge University Press:  06 April 2009

David A. Umstead  and
Gary L. Bergstrom
Get access Rights & Permissions [Opens in a new window]

Extract

The purpose of this study is to build and test a statistical model for the dynamic estimation of portfolio Betas. Of particular interest is the quality of Beta estimates obtainable from relatively small samples of daily return data. Also of particular interest is an assessment of the relationship between the quality of these estimates and the degree of portfolio diversification.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 595 - 614
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Black, Fisher. Options, Vol. 1 (05 1976). Chicago: Published by the author.Google Scholar
[2]Box, George E. P., and Jenkins, Gwilym M.. Time Series Analysis Forecasting and Control. San Francisco, Calif.: Holden Day (1970).Google Scholar
[3]Box, George E. P., and Pierce, D. A.. “Distribution of Residual Autocorrelations in AutoRegressive–Integrated Moving Average Time Series Models.” Journal of the American Statistical Association, Vol. 64 (1970).Google Scholar
[4]Cohen, Kalman J.; Maier, Steven F.; Schwartz, Robert A.; and Whitcomb, David K.. “On the Existence of Serial Correlation in an Efficient Securities Market.” New York University GSBA Working Paper No. 199 (02 1977).Google Scholar
[5]Fisher, L. “Some New Stock Market Indexes.” Journal of Business, Vol. 39 (01 1966), pp. 191–225.CrossRefGoogle Scholar
[6]Scholes, Myron. “Predicting Betas and Variances using Daily Data.” Paper presented at a seminar on the Analysis of Security Prices, University of Chicago, (05 13–14, 1976).Google Scholar