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- Title
Current investor expectations and better betas.
- Authors
French, Dan W.; Groth, John C.; Kolari, James W.
- Abstract
The article evaluates the usefulness of an approach to estimating future betas based on investors' current expectations. It presents an approach that is one step closer to the goal of a beta that truly represents the expected systematic risk of a security to the extent that current expectations differ from past observation. As this evaluation is based on hypothesis, it should contribute to better future beta estimates when combined with traditional historical methods. The evaluation starts off by reviewing a method for measuring expectations of future security price movements and showing how this can be incorporated into estimates of beta.
- Subjects
INVESTMENT analysis; INVESTMENTS; BETA (Finance); FINANCIAL management; ASSET management; SECURITIES; LIQUIDITY (Economics); PORTFOLIO management (Investments); ECONOMICS
- Publication
Journal of Portfolio Management, 1983, Vol 10, Issue 1, p12
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.1983.408938