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- Title
A NOTE ON THE DECEPTIVE NATURE OF BAYESIAN FORECASTED BETAS.
- Authors
Johnson, Dana J.; Bennett, Richard E.; Curcio, Richard J.
- Abstract
This article presents information on the deceptive measures of the observed forecasting accuracy of the Bayesian technique. The Bayesian method facilitates the estimation of a parameter which is a random variable by incorporating any prior information about the parameter with current sample information to obtain the final estimate. The desirable properties of the Bayesian forecasts of beta are demonstrated to be mathematical definitions. However, the true forecasting accuracy is extremely sensitive to the assumptions concerning the process generating beta.
- Publication
Journal of Financial Research, 1979, Vol 2, Issue 1, p65
- ISSN
0270-2592
- Publication type
Academic Journal
- DOI
10.1111/j.1475-6803.1979.tb00017.x