文章基本信息

标题：The Stability and Predictability of Betas: Evidence from the Kuala Lumpur Stock Exchange
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作者：Shamsher Mohamad ; Annuar Md. Nassir
期刊名称：Pertanika Journal of Social Sciences & Humanities
印刷版ISSN：0128-7702
电子版ISSN：2231-8534
出版年度：1994
卷号：2
期号：1
出版社：Universiti Putra Malaysia
摘要：Beta measures the systematic or undiversifiable risk of a security. Investors desire stable ( and hence predictable) measures of beta to enable them to accurately estimate the expected returns on their investment. Instable betas lead to inaccurate estimates of expected returns over time and hence provide misleading signals on performance of investments. This study examines the stability and predictability of the three leads/lags version of Fowler-Rorke betas (unlike OLS betas, these betas address the problem of thinness of trading peculiar to the KLSE) of 148 firms listed on the Kuala Lumpur Stock Exchange (KLSE). The findings suggest that the beta of both individual securities and portfolios are quite stationary over time. As expected the portfolio betas are relatively more stable than individual securities betas. Furthermore, the method of portfolio formation affects the relative portfolio beta stability. However, portfolio beta stability is achieved with 15 or more securities, irrespective of method of portfolio formation. Overall, the findings indicate that investors can reliably utilise estimated individual security and portfolio betas for their portfolio selection and investment decisions.
关键词：Beta; stability; portfolio; securities; expected returns