Adjusted Betas under Reference-Day Risk
Gonzalez, M., Rodriguez, A., & Stein, R. (2014). Adjusted betas under reference-day risk. The Engineering Economist, 59(1), 79-88.
Posted: 15 Jan 2013 Last revised: 22 Aug 2017
Date Written: January 14, 2013
Our paper analyzes the performance of different methods to adjust beta. Specifically, we compare the standard OLS regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.
Keywords: Adjusted Betas, CAPM, Reference-day risk
JEL Classification: G11, G12, G14, G17
Suggested Citation: Suggested Citation
Gonzalez, Marcelo and Rodriguez, Arturo and Stein, Roberto, Adjusted Betas under Reference-Day Risk (January 14, 2013). Gonzalez, M., Rodriguez, A., & Stein, R. (2014). Adjusted betas under reference-day risk. The Engineering Economist, 59(1), 79-88., Available at SSRN: https://ssrn.com/abstract=2200571 or http://dx.doi.org/10.2139/ssrn.2200571
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