Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets

Abstract

The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coefficient. This study instead uses a battery of Generalized Auto Regressive Conditional Heteroskedasticity… (More)

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Cite this paper

@inproceedings{French2016BackTT, title={Back to the Future Betas: Empirical Asset Pricing of US and Southeast Asian Markets}, author={Jordan French}, year={2016} }