Adjusted betas under reference-day risk

2014. Engineering Economist. Vol. 59, N° 1, Pp. 79-88

Arturo Rodriguez P, Marcelo Gonzalez A, Roberto Stein B

Abstract:

Our article analyzes the performance of different methods to adjust beta. Specifically, we compare the standard ordinary least squares (OLS) regression method with the Blume and t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.

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