Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/21991
Full metadata record
DC FieldValueLanguage
dc.contributor.authorMensah, L.-
dc.date.accessioned2017-04-25T16:16:57Z-
dc.date.available2017-04-25T16:16:57Z-
dc.date.issued2013-
dc.identifier.urihttp://hdl.handle.net/123456789/21991-
dc.description.abstractThis paper uses completely new data to study the variations in beta when it deviates from the constancy assumption presumed by the market model. The concentration of the literature on beta is based on post 1926 data. This makes the 19th century Brussels Stock Exchange (BSE) data a very good out-sample dataset to test beta variations. Various models proposed in the literature to capture the variations in beta were studied. Blume’s correlation techniques reveal that beta is not stable at the individual stocks level and that the stability can be fairly improved by portfolio formations. Using root mean square error (RMSE) criterion, it was shown that the market model betas are weak in predicting future betas. The predictability can be improved by adjusting betas with the Blume and Vasicek mean reversion techniques. Further results from this study reveal that few stocks have lead or lag relationship with the market index. Small sized stocks were detected to be more prone to outliers. In effect betas in the 19th century exhibits similar pattern as betas in the post 1926 era.en_US
dc.format.extentpp 34-46-
dc.language.isoenen_US
dc.relation.ispartofseries;Vol. 2(4)-
dc.subjectBetaen_US
dc.subjectAssumptionen_US
dc.titleThe behavior of betas in the 19th centuryen_US
dc.typeArticleen_US
Appears in Collections:Department of Accounting

Files in This Item:
There are no files associated with this item.


Items in UGSpace are protected by copyright, with all rights reserved, unless otherwise indicated.