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Beta Stationarity And Estimation Period: Evidence From Pakistan's Equity Market, Sana Tauseef
Beta Stationarity And Estimation Period: Evidence From Pakistan's Equity Market, Sana Tauseef
Business Review
This study examines the stability of individual stock beta coefficients over time and its link with the length of estimation periods. Using data for 325 stocks from Pakistan for the period 1999 to 2012, I show that beta coefficients are not stable on average but become more stable as the estimation period increases. This suggests that longer estimation periods should be used for predicting future beta coefficients. JEL Classification: G12, G23