An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks
Autor(a) principal: | |
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Data de Publicação: | 2000 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/23572 |
Resumo: | This paper tests the forecast ability of different methods to estimate systematic risk. We address the issue in a small market where stocks are infrequently traded. We used the Blume technique and the Vasicek technique compared with two naïve techniques for different sample time periods (sample sizes) and different frequencies for data collection. We tested all the models using standard betas and betas adjusted for infrequently traded stock according to Scholes and Williams methodology. This study was carried on single stocks listed in the Portuguese stock exchange (BVL) instead of stock portfolios. We concluded that adjusted betas using either the Baysian model or the Blume technique produce a better result than unadjusted betas, but it is not clear whether the former produces consistently better results than the latter. We also found empirical support for the convergence phenomenon of betas of individual stocks towards one when they are either unadjusted or adjusted for infrequent trading |
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An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocksBetasSystematic RiskBlume TechniqueVasick TechniqueInfrequently Traded StocksStock PricingThis paper tests the forecast ability of different methods to estimate systematic risk. We address the issue in a small market where stocks are infrequently traded. We used the Blume technique and the Vasicek technique compared with two naïve techniques for different sample time periods (sample sizes) and different frequencies for data collection. We tested all the models using standard betas and betas adjusted for infrequently traded stock according to Scholes and Williams methodology. This study was carried on single stocks listed in the Portuguese stock exchange (BVL) instead of stock portfolios. We concluded that adjusted betas using either the Baysian model or the Blume technique produce a better result than unadjusted betas, but it is not clear whether the former produces consistently better results than the latter. We also found empirical support for the convergence phenomenon of betas of individual stocks towards one when they are either unadjusted or adjusted for infrequent tradingISEG - Departamento de GestãoRepositório da Universidade de LisboaDuque, JoãoCouto, Gualter do2022-02-17T12:30:22Z20002000-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/23572engDuque, João e Gualter do Couto .2000. “An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks” . Instituto Superior de Economia e Gestão. Departamento de Gestão /Cadernos de Económicas /Documento de trabalho nº 5-000874-8470info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:53:08Zoai:www.repository.utl.pt:10400.5/23572Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:07:46.878425Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
title |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
spellingShingle |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks Duque, João Betas Systematic Risk Blume Technique Vasick Technique Infrequently Traded Stocks Stock Pricing |
title_short |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
title_full |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
title_fullStr |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
title_full_unstemmed |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
title_sort |
An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks |
author |
Duque, João |
author_facet |
Duque, João Couto, Gualter do |
author_role |
author |
author2 |
Couto, Gualter do |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Duque, João Couto, Gualter do |
dc.subject.por.fl_str_mv |
Betas Systematic Risk Blume Technique Vasick Technique Infrequently Traded Stocks Stock Pricing |
topic |
Betas Systematic Risk Blume Technique Vasick Technique Infrequently Traded Stocks Stock Pricing |
description |
This paper tests the forecast ability of different methods to estimate systematic risk. We address the issue in a small market where stocks are infrequently traded. We used the Blume technique and the Vasicek technique compared with two naïve techniques for different sample time periods (sample sizes) and different frequencies for data collection. We tested all the models using standard betas and betas adjusted for infrequently traded stock according to Scholes and Williams methodology. This study was carried on single stocks listed in the Portuguese stock exchange (BVL) instead of stock portfolios. We concluded that adjusted betas using either the Baysian model or the Blume technique produce a better result than unadjusted betas, but it is not clear whether the former produces consistently better results than the latter. We also found empirical support for the convergence phenomenon of betas of individual stocks towards one when they are either unadjusted or adjusted for infrequent trading |
publishDate |
2000 |
dc.date.none.fl_str_mv |
2000 2000-01-01T00:00:00Z 2022-02-17T12:30:22Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/23572 |
url |
http://hdl.handle.net/10400.5/23572 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Duque, João e Gualter do Couto .2000. “An empirical test on the forecast ability of the bayesian and blume techniques for infrequently traded stocks” . Instituto Superior de Economia e Gestão. Departamento de Gestão /Cadernos de Económicas /Documento de trabalho nº 5-00 0874-8470 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - Departamento de Gestão |
publisher.none.fl_str_mv |
ISEG - Departamento de Gestão |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131171847667712 |