Forecasting Systematic Risk: Estimates of "Raw" Beta that Take Account of the Tendency of Beta to Change and the Heteroskedasticity of Residual Returns
提出一种估计股票系统性风险指标贝塔的方法，考虑了贝塔随时间变化的趋势和残差收益的异方差性，帮助投资者和研究者基于现有数据更准确地预测未来风险。
In the application of modern portfolio theory, the systematic risk of a security is of central importance. Beta (β), the future regression coefficient of the return of the security on the return of the market, is an index of that risk. Since the future is yet to be revealed, nonclairvoyant practitioners and researchers must rely on estimated rather than actual values of beta and the estimates must be based on data that are currently available.