Forecasting of the Malaysian Betas

Ho, Catherine, Soke Fun and Chen, Yin Foo (2009) Forecasting of the Malaysian Betas. INTI JOURNAL, 2009. pp. 1-13. ISSN e2600-7320

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Abstract

Estimating beta is a straightforward application of the market model. However, investors are interested in the historical value of betas only in the hope of better able to forecast the probable future value. The issue of beta forecasting is explored using segmented Malaysian industries data. Four forecasting techniques are used to evaluate the forecasting ability of historical betas. The techniques included the commonly accepted Blume and Vasicek methods, a naive constant model and a technique widely used by commercial providers. These accuracy and suitability of these predicted betas will be examined with the MSE criteria. It is observed that the commercial model adjustments greatly improve the MSE performance in both periods. Specifically it reduces the inefficiency element of the MSE components.

Item Type:	Article
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HD Industries. Land use. Labor
Divisions:	Academic Affairs
Depositing User:	Unnamed user with email masilah.mansor@newinti.edu.my
Date Deposited:	10 Jul 2021 08:08
Last Modified:	10 Jul 2021 08:55
URI:	http://eprints.intimal.edu.my/id/eprint/1508

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