Reviews and a New Angle of β Coefficient Prediction Method

Abstract:

The β coefficient is one of the key parameters in the capital market and risk management, and is the important decision-making basis for the stakeholders in the market economy. But from the nineteen seventies, β coefficient is unstable which has been confirmed by a number of literatures, therefore the follow-up researchers have always focused on searching for the better method to improve the accuracy of prediction of the β coefficient. This paper reviewed the existing literature about prediction methods for the β coefficient, and then gave a new method of forecasting the β coefficient-three dimensional entropy measurement.

• Periodical: Advanced Materials Research (Volume 709)
• Pages: 687-690
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.709.687
• Online since: June 2013
• Authors: Jun Hang Liu
• Keywords: Beta (β) Coefficient, Capital Asset Pricing Model (CAPM), System Risk

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