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Forecasting of the Malaysian Betas

Estimating beta is a straightforward application of the market model. However, investors are interested in the historical value of betas only in the hope of better able to forecast the probable future value. The issue of beta forecasting is explored using segmented Malaysian industries data. Four...

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Main Authors: Ho, Catherine, Soke Fun, Chen, Yin Foo
Format: Article
Language:English
Published: INTI International University 2009
Subjects:
H Social Sciences (General)
HD Industries. Land use. Labor
Online Access:http://eprints.intimal.edu.my/1508/1/2009_p1.pdf
http://eprints.intimal.edu.my/1508/
https://intijournal.intimal.edu.my/intijournal.htm
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spelling my-inti-eprints.15082021-07-10T08:55:44Z http://eprints.intimal.edu.my/1508/ Forecasting of the Malaysian Betas Ho, Catherine, Soke Fun Chen, Yin Foo H Social Sciences (General) HD Industries. Land use. Labor Estimating beta is a straightforward application of the market model. However, investors are interested in the historical value of betas only in the hope of better able to forecast the probable future value. The issue of beta forecasting is explored using segmented Malaysian industries data. Four forecasting techniques are used to evaluate the forecasting ability of historical betas. The techniques included the commonly accepted Blume and Vasicek methods, a naive constant model and a technique widely used by commercial providers. These accuracy and suitability of these predicted betas will be examined with the MSE criteria. It is observed that the commercial model adjustments greatly improve the MSE performance in both periods. Specifically it reduces the inefficiency element of the MSE components. INTI International University 2009 Article PeerReviewed text en http://eprints.intimal.edu.my/1508/1/2009_p1.pdf Ho, Catherine, Soke Fun and Chen, Yin Foo (2009) Forecasting of the Malaysian Betas. INTI JOURNAL, 2009. pp. 1-13. ISSN e2600-7320 https://intijournal.intimal.edu.my/intijournal.htm
institution INTI International University
building INTI Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider INTI International University
content_source INTI Institutional Repository
url_provider http://eprints.intimal.edu.my
language English
topic H Social Sciences (General)
HD Industries. Land use. Labor
spellingShingle H Social Sciences (General)
HD Industries. Land use. Labor
Ho, Catherine, Soke Fun
Chen, Yin Foo
Forecasting of the Malaysian Betas
description Estimating beta is a straightforward application of the market model. However, investors are interested in the historical value of betas only in the hope of better able to forecast the probable future value. The issue of beta forecasting is explored using segmented Malaysian industries data. Four forecasting techniques are used to evaluate the forecasting ability of historical betas. The techniques included the commonly accepted Blume and Vasicek methods, a naive constant model and a technique widely used by commercial providers. These accuracy and suitability of these predicted betas will be examined with the MSE criteria. It is observed that the commercial model adjustments greatly improve the MSE performance in both periods. Specifically it reduces the inefficiency element of the MSE components.
format Article
author Ho, Catherine, Soke Fun
Chen, Yin Foo
author_facet Ho, Catherine, Soke Fun
Chen, Yin Foo
author_sort Ho, Catherine, Soke Fun
title Forecasting of the Malaysian Betas
title_short Forecasting of the Malaysian Betas
title_full Forecasting of the Malaysian Betas
title_fullStr Forecasting of the Malaysian Betas
title_full_unstemmed Forecasting of the Malaysian Betas
title_sort forecasting of the malaysian betas
publisher INTI International University
publishDate 2009
url http://eprints.intimal.edu.my/1508/1/2009_p1.pdf
http://eprints.intimal.edu.my/1508/
https://intijournal.intimal.edu.my/intijournal.htm
_version_ 1705061135621816320
score 13.211869

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