Forecasting Beta: How Well Does the ‘Five‐Year Rule of Thumb’ Do?
研究CAPM贝塔随时间变化的原因，并用回归模型预测贝塔，发现预测方程解释力强，但平均而言不如简单的五年经验法则。
CAPM betas are generally estimated from historical data and applied to a future period. There is widespread evidence that the CAPM betas vary considerably over time and this raises two questions: can this variation be explained and can it be forecast better than the ‘five‐year rule of thumb’ (i.e using the most recently estimated beta)? We estimate time‐varying betas and explain the time‐variation in the betas using regression models which we subsequently use for forecasting. We find that forecasting equations have good explanatory power but that their forecasts are dominated, on average, by the five‐year rule of thumb.