92-108

• Διακογιάννης, Γεώργιος Π.

This paper investigates the forecasting ability of beta coefficients for individual securities and portfolios using time series data from the London Stock Exchange. Individual security beta estimates of one period are good predictors of the corresponding betas in the subsequent period, whereas portfolio beta estimates are found to be relatively predictable. The estimated betas can be improved by making use of different adjustment techniques and in the case of portfolios this improvement is greater when the portfolio size is increased. Adjustment methods can also be utilized in order to reduce the forecast errors associated with different risk classes.

• Economics and Business
• Computer and information sciences

• Finance
• Financial management
• Statistics

Περιέχει εκθέσεις και βιβλιογραφία, The author is indebted to two anonymous referees for many helpful and valuable comments.