Beta instability and stochastic market weights

Article Abstract:

Betas are joined to the market return proceedings by their stochastic market weights, of which they are nonlinear functions, and a theoretical argument can be made for beta instability. Betas change whenever their stochastic market weights change, and the regression tendency may be theoretically explained by relevant factors such as the market rate of return. The argument presented creates implications for sufficient models for beta instability and of methods intended to estimate betas. Procedures to estimate betas must link them to the market rate of return process, with the apportioned fixedness of the beta proceedings being dependent on what is supposed about the market return.

Finance, Stochastic processes

---

Unstable weights in the combination of forecasts

Article Abstract:

The weights used in combining forecasts are generally unstable; therefore, combining forecasts often do not perform as well as some individual forecasts or a simple average of forecasts. A series of Monte Carlo experiments shows the typical combining forecast's instability, as do the nominal GNP forecasts from four popular macro-forecasters. The Monte Carlo experiments also indicate that a composite forecast from a composite model is more accurate, in general, than the combination of individual forecasts when the underlying models are known. The best technique to be used in practice is a simple average of multiple (and separate) forecasts.

Mathematical models, Statistics, Statistics (Data), Forecasting, Monte Carlo method, Monte Carlo methods

---

Beta Instability and Stochastic Market Weights

Article Abstract:

An argument is given for individual firm beta instability based upon the stochastic character of the market weights defining the market portfolio and the constancy of its beta. This argument is generalized to market weighted portfolios and the form of the stochastic process generating betas is linked to that of the market return process. The implications of this analysis for adequacy of models of beta nonstationarity and estimation of betas are considered in light of the available empirical evidence. (Reprinted by Permission of Publisher.)

Economics, Stock markets, Modeling, Data modeling software, Market, Stock Market

Similar abstracts:

• Abstracts: The outlook for United States corporate earnings. Savings with a formal forecasting system. A case study of two forecasting organizational options
• Abstracts: Integrating Office Technology and Procedures into Business Communications Courses. The Role of Audience in Business and Technical Writing
• Abstracts: Thresholds and Transitivity in Stochastic Consumer Choice: A Multinominal Logit Analysis. Differences in subjective risk thresholds: worker groups as an example
• Abstracts: Decentralization, strategy, and effectiveness of strategic business units in multibusiness organizations. Research Thrusts in Small Firm Strategic Planning
• Abstracts: Modeling data and process quality in multi-input, multi-output information systems. Successful Information System Development in Relation to Situational Factors Which Affect Effective Communication Between MIS-Users and EDP-Specialists

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.