Journal of Financial and Quantitative Analysis Vol. 20 No. 2 1985

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

Abstract

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

DOI

10.2307/2330951

Volume

20

Issue

2

Pages

127

Sources

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