Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover

2019 / 2018 / 2017 / 2016 / 2015 / 2014 / ältere Diskussionspapiere anzeigen

Diskussionspapiere - Hannover Economic Papers (HEP)

The Memory of Beta Factors

Autor: Janis Becker and Fabian Hollstein and Marcel Prokopczuk and Philipp Sibbertsen
Nummer: 661, Sep 2019, pp. 53
JEL-Class: C58, G15, G12, G11

Abstract:
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks, we reject both the short-memory and difference-stationary (random walk) alternatives. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document the relation of firm characteristics with the forecast error differentials that result from inadequately imposing short-memory or random walk instead of long-memory processes.

Zusammenfassung:
/N

Diskussionspapier als PDF-Datei herunterladen
BibTeX-Datensatz herunterladen

| ©2004 - 2019 Wirtschaftswissenschaftliche Fakultät, letzte Änderung am 2014-09-02 11:55:06