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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| المؤلفون الرئيسيون: | , |
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| التنسيق: | مقال |
| اللغة: | English |
| منشور في: |
INTI International University
2009
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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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my-inti-eprints.1508 |
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eprints |
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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 |
13.251813 |