CEU Electronic Theses and Dissertations, 2020
| Author | Nasli, Adam |
|---|---|
| Title | Adaptive hedging beta analysis for US stocks |
| Summary | The purpose of this capstone project was to identify patterns in beta calculations/analysis of US stocks, that can help to make better predictions for the future beta. The difficulties with beta calculation are that there are a lot of factors that affect beta’s and beta errors’ values, such as market volatility or turnover. As a result of this research, I found evidence that there is a correlation between beta error and volatility/turnover, and these patterns can help us to make a better prediction for beta. |
| Supervisor | Papp, Zoltán |
| Department | Economics MSc |
| Full text | https://www.etd.ceu.edu/2020/nasli_adam.pdf |
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