Vasicek and Blume Betas: Back to the Future Part II

Diana Raicov; Richard Trafford

Vasicek and Blume Betas: Back to the Future Part II

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Abstract

A fundamental driver of the cost of capital is the systematic risk measured by the Beta coefficient. To achieve an accurate value of the cost of capital, the Beta estimates are required to exhibit a set of desired characteristics. In part 2 of this study the evaluation of Beta modelling techniques will continue with an assessment of the six methods proposed in part 1. This will establish which of the techniques are the most efficient and effective in terms of minimizing bias, maintaining stability and maximizing predictive ability.

Original language	English
Pages (from-to)	12-22
Journal	The Value Examiner
Volume	March/April
Publication status	Published - 17 May 2019

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Dataset for 'Vasicek and Blume Betas: Back to the Future'.
Raicov, D. (Creator) & Trafford, R. (Other), University of Portsmouth, 2 Feb 2019
DOI: 10.17029/e93fa7e2-ffd2-4e19-8e7e-d43e036ff54c
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Vasicek and Blume Betas: Back to the Future Part II

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