Journal of Portfolio Management, Spring 2016, v. 42, iss. 3, pp. 84-93

评估Beta预测的准确性

作者：Jose G. Menchero (Bloomberg), Zoltan Nagy (MSCI, Budapest), Ashutosh Singh, (MSCI, New York)

摘要：作者提出了一种比较Beta预测准确性的方法。他们指出当使用未被观察到的Beta值时，残差的波动最小。作者将Beta估计误差水平与实际残差波动联系起来，并且使用他们的方法比较了这些Beta预测的准确性。实际上，他们发现从因子风险模型中估计出Beta值的准确性显著高于从时间序列回归中得到的历史Beta值的准确性。

Evaluating the Accuracy of Beta Forecasts

Jose G. Menchero (Bloomberg), Zoltan Nagy (MSCI, Budapest), Ashutosh Singh, (MSCI, New York)

ABSTRACT

The authors present a methodology to compare the accuracy of beta forecasts. They show that residual volatility is minimized when true (unobservable) betas are used. The authors relate the level of error in the beta estimate to the realized residual volatilities and then use their approach to compare the accuracy of several beta estimates. In particular, they find that the predicted betas from a factor risk model are significantly more accurate than the historical betas derived from a time-series regression.

原文链接：

http://www.iijournals.com/doi/full/10.3905/jpm.2016.42.3.084

翻译：吴雨玲