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Forecasting Systematic Risk: Estimates of "Raw" Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns

Lawrence Fisher; Jules H. Kamin
Journal of Financial and Quantitative Analysis 1985 20(2), 127
Lawrence Fisher, Jules H. Kamin, Forecasting Systematic Risk: Estimates of "Raw" Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns, The Journal of Financial and Quantitative Analysis, Vol. 20, No. 2 (Jun., 1985), pp. 127-149