Σταθερότητα του συστηματικού κινδύνου μετοχών, χαρτοφυλάκια και εφαρμογή στην αποτελεσματικότητα χαρτοφυλακίων
Κόσσυβας, Γεώργιος Α.
The primary purpose of this study, is to investigate the stationarity and the forecast ability of the security and portfolios beta coefficient, as well as to determine whether beta forecasts can be improved, used data which was drawn from the Athens Share Price Database, by employing the adjustment procedure, developed by Blume(1975). For individual securities, their beta coefficients of one period are predictors of corresponding betas in the subsequent period. The betas estimated can approximately be improved, by employing the adjusted Blume’s technique and for portfolios such an improvement, increases with portfolio size. We have estimated the beta coefficients, by utilizing the market model and applying the OLS method. The data used in this study, was drawn from the Athens Share Price Database (ASPD). The entire sample period was divided into three consecutive sub periods, having length of 60 months the two first (1/1991 – 12/1995, 1/1996 – 12/2000) and 54 months the thirst (1/2001 – 6/2005).