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Analizing the forecast ability of beta adjustment techniques : an empirical study in Indonesia capital market
The focus of this study is the forecast ability of beta adjustment techniques. The study chose two beta adjustment techniques, Blume?s and unadjusted?s, among several adjustment techniques because there was a lack of data availability in the Indonesia capital market. Former studies suggested that only those two techniques are good for the short-term period. To evaluate the forecast ability of those techniques, this study used the mean square error (MSE). The result of the study was quite astonishing because it violated the result of almost former studies in the same topic. They found that the Blume technique yielded smaller MSE than the unadjusted technique. After further investigation, this violation was due to the condition of the Indonesia capital market, especially in most of the period used in this study, that it suffered the thin market and non synchronous trading. It caused the betas estimated to become bias and misleading. Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 6614 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok: Departemen Manajemen, Fakultas Ekonomi Universitas Indonesia 2009 |
|---|---|
| Edisi | - |
| Subjek | Capital markets Blume technique Mean square error |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xii, 83 p. : chart ; 30 cm |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |