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Vasicek and Blume Betas: Back to the Future Part II

Research output: Contribution to journalArticle

  • Diana Raicov
  • Richard Trafford
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
Publication statusPublished - 17 May 2019
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