Mean Reversion and the Forecasting of Country Betas: A Note - Blume (1971 & 1975) found individual equity betas to have a "regression" tendency towards the grand mean of unity. His original results have been widely accepted to the extent that a literature had developed on applying Bayesian techniques to beta estimation so as to adjust for mean reversion. The more recent literature has focused on ...
| Year of publication: |
1999
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| Authors: | Gangemi, Michael ; Brooks, Robert ; Faff, Robert |
| Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 11172435. - Vol. 10.1999, 2, p. 231-246
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