An Examination of Blume and Vasicek Betas

Martin Lally

The Financial Review, 1998, vol. 33, issue 3, 183-97

Abstract: This paper examines the Vasicek and Blume methods for correcting OLS betas. The primary conclusions are that typical applications of Vasicek's method seem to mistakenly equate the prior distribution with the cross-sectional distribution of estimated rather than true betas, that Blume's implicit forecast of any tendency for true betas to regress towards one may not be desirable, that preliminary partitioning of firms into industry type groups (as is typical for Vasicek) is desirable, and that conversion of OLS equity betas to asset betas before applying the correction process is also desirable. Copyright 1998 by MIT Press.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:33:y:1998:i:3:p:183-97

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().