Jostova, Gergana; Philipov, Alexander - In: Journal of Financial and Quantitative Analysis 40 (2005) 04, pp. 747-778
We propose a mean-reverting stochastic process for the market beta. In a simulation study, the proposed model generates significantly more precise beta estimates than GARCH betas, betas conditioned on aggregate or firm-level variables, and rolling regression betas, even when the true betas are...