Flexible Least Squares Betas: The French Market Case

@inproceedings{Chauveau1998FlexibleLS,
  title={Flexible Least Squares Betas: The French Market Case},
  author={Thierry Chauveau and Bertrand Maillet},
  year={1998}
}
A compatison between the most popular methods used to value systematic risk, using simulated series is, first, porposed. It appears that the Flexible Least Squares (FLS) methos - first proposed by Kalaba et Tesfatsion (1989) and later generalized by Lutkepohl and Herwatz (1996) - outclasses its challengers, when the actual beta is time-varying. Beta coefficients of many French stock returns are subsequently estimated, using the FLS method. The accuracy of the adjustments is higher than that of… CONTINUE READING