An adjustment procedure for predicting systematic risk
预测系统性风险的调整方法
Abstract This paper looks at the currently available beta adjustment techniques and suggests a multiple root‐linear model to adjust for the regression tendency of betas. Our empirical investigate on indicates that cross‐sectional betas are not normally distributed, but their distribution tends to normal after a square‐root transformation. The evidence from the Box‐Cox regression model and the multivariate normality observed among betas after the transformation, make the…