-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long …. A pure long-memory model reliably provides superior beta forecasts compared to all alternatives. Finally, we document …

A measurement error in beta that arises from changes in leverage during the beta estimation window contributes in … the stock market-induced changes in leverage. We propose a point-in-time beta that incorporates leverage at the end of the … beta estimation window rather than the average leverage during this window. Using the point-in-time beta to compute …