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Forecasting Beta: How Well Does the ‘Five‐Year Rule of Thumb’ Do?

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References

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1971On the Short-Term Stationarity of Beta Coefficients227 cited
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1975THE ADJUSTMENT OF BETA FORECASTS144 cited
1997Share Prices and Macroeconomic Factors143 cited
1987Some Further Evidence on the Stochastic Properties of Systematic Risk133 cited
1974ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS104 cited
1992The form of time variation of systematic risk: some Australian evidence85 cited
1998Time‐varying Beta Risk for Australian Industry Portfolios: An Exploratory Analysis57 cited
1994Beta stability and portfolio formation49 cited

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2008Herd Behavior Towards the Market Index: Evidence from 21 Financial Markets

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31 cited

2013Determinants of market beta: the impacts of firm-specific accounting figures and market conditions27 cited

2012Conditional market beta for REITs: A comparison of modeling techniques24 cited

2016The Determinants of Systematic Risk: A Firm Lifecycle Perspective21 cited