Journal of Portfolio Management, Spring 2016, v. 42, iss. 3, pp. 84-93

評估Beta預測的準确性

作者：Jose G. Menchero (Bloomberg), Zoltan Nagy (MSCI, Budapest), Ashutosh Singh, (MSCI, New York)

摘要：作者提出了一種比較Beta預測準确性的方法。他們指出當使用未被觀察到的Beta值時，殘差的波動最小。作者将Beta估計誤差水平與實際殘差波動聯系起來，并且使用他們的方法比較了這些Beta預測的準确性。實際上，他們發現從因子風險模型中估計出Beta值的準确性顯著高于從時間序列回歸中得到的曆史Beta值的準确性。

Evaluating the Accuracy of Beta Forecasts

Jose G. Menchero (Bloomberg), Zoltan Nagy (MSCI, Budapest), Ashutosh Singh, (MSCI, New York)

ABSTRACT

The authors present a methodology to compare the accuracy of beta forecasts. They show that residual volatility is minimized when true (unobservable) betas are used. The authors relate the level of error in the beta estimate to the realized residual volatilities and then use their approach to compare the accuracy of several beta estimates. In particular, they find that the predicted betas from a factor risk model are significantly more accurate than the historical betas derived from a time-series regression.

原文鍊接：

http://www.iijournals.com/doi/full/10.3905/jpm.2016.42.3.084

翻譯：吳雨玲