[en] Based on a comprehensive sample of 170 securities traded continuously on the Brussels Stock Exchange from December 1966 to December 1983 this paper presents evidence which indicates that the stationarity of beta-coefficients is not as strong as reported in previous studies which were based on smaller samples. It is shown, however, that beta forecast can be generally improved using an adjustment method and that the improvement is highest for portfolios of increasing size.
Disciplines :
Finance
Author, co-author :
Hawawini, Gabriel A; European Institute of Business Administration (INSEAD)
Michel, Pierre-Armand ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Analyse financière
Corhay, Albert ; Université de Liège - ULiège > Comptabilité et finance
Language :
English
Title :
New evidence on beta stationarity and forecast for belgian common stocks
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