Beta Estimation, Forecasting and Convergence

Janusz Brzeszczynski and Jerzy Gajdka ()
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Jerzy Gajdka: University of Łódź, Poland

Chapter 6 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 4, pp 99-110 from University of Lodz

Abstract: We performed the estimation of Beta coefficients for the broadest possible selection of stocks from the Polish stock market using ARCH class models and analyzed the stocks characterized by the statistically significant estimates. We have confirmed the existence of Beta convergence effect, determined the Beta convergence level and found that it is much lower than the “grand mean” of Beta equal to 1. The findings about the Beta convergence effect from this study may be useful in forecasting the values of future Betas for the stocks listed on the Polish stock market. It is, however, important to emphasize that the investigation presented in this chapter is only a preliminary and indicative study. It opens up a space for future research concerning the Beta convergence phenomenon and should be followed by more analyzes before any definitive conclusions in that regard can be drawn.

Keywords: Beta Estimation; Forecasting; Convergence (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2007
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