Revistas Académicas WoS

Adjusted betas under reference - day risk

Our article analyzes the performance of different methods to adjust beta. Specifically, we compare the standard ordinary least squares (OLS) regression method with the Blume and distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.

The Engineering Economist, Vol. 59, No. 1, pp. 79 - 88, Marzo, 2014
Autor(es): González Marcelo, Rodríguez Arturo, Stein Roberto