ESTIMAREA COEFICIENTULUI BETA
PE PIAŢA ROMÂNĂ DE CAPITAL
BETA COEFICIENT ESTIMATION ON THE ROMANIAN STOCK MARKET
Author(s): Adrian NiţuSubject(s): Economy
Published by: Editura Universităţii Vasile Goldiş
Keywords: beta adjustment; Blume beta adjustment technique; Vasicek beta adjustment technique; liniar regression; singular index model
Summary/Abstract: Betas can be measured as the covariance of individual stock returns against returns on the market. Alternatively, they can be calculated via regression analysis. These historical, unadjusted betas have been shown to suffer from several weaknesses. The first of these is their tendency to regress towards their mean value (1.0) over time. However, this instability is, to a limited extent, predictable. Blume and Vasicek provide two methods by which betas can be adjusted to correct for this tendency. Comparison of the unadjusted, Blume adjusted, and Vasicek adjusted betas have revealed that the Blume and Vasicek approaches are clearly superior in explaining future betas. For the Romanian securities, we select SIF1 to 5, and we applied the Blume and Vasicek beta adjustment techniques, together with other regression techniques in order to find out witch of them gives the more accurate results.
Journal: Studia Universitatis Vasile Goldiş, Arad - Seria Ştiinţe Economice
- Issue Year: 18/2008
- Issue No: 1
- Page Range: 121-137
- Page Count: 17
- Language: Romanian