Prediction of Systematic Risk: A Case from Turkey

Ismail Saglan

No 9407, Working Papers from Economic Research Forum

Abstract: This study compares Bayesian and time-varying models to adjust for the regression tendency of betas present in standard asset pricing applications. Beta adjustment techniques are applied to the Istanbul Stock Exchange (ISE) data. Empirical findings show that the Mean Square Error (MSE) is lowest among all models used in the study when log-linear or square-root linear Blume models are used and betas predicted according to Bayesian models, have lower MSE than unadjusted betas. Also, it is observed that the inefficiency part of the MSE changes most when various adjustment techniques are used.

Date: 1994-02-06, Revised 1994-02-06
References: Add references at CitEc
Citations:

Published by The Economic Research Forum (ERF)

Downloads: (external link)
http://bit.ly/2u6ezK4 (text/html)

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:erg:wpaper:9407

Access Statistics for this paper

More papers in Working Papers from Economic Research Forum Contact information at EDIRC.
Bibliographic data for series maintained by Namees Nabeel ().