Vasicek and Blume Betas: Back to the Future Part II

Diana Raicov, Richard Trafford

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)12-22
JournalThe Value Examiner
VolumeMarch/April
Publication statusPublished - 17 May 2019

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