Reviews and a New Angle of β Coefficient Prediction Method

Abstract

The β coefficient is one of the key parameters in the capital market and risk management, and is the important decision-making basis for the stakeholders in the market economy. But from the nineteen seventies, β coefficient is unstable which has been confirmed by a number of literatures, therefore the follow-up researchers have always focused on searching for the better method to improve the accuracy of prediction of the β coefficient. This paper reviewed the existing literature about prediction methods for the β coefficient, and then gave a new method of forecasting the β coefficient-three dimensional entropy measurement.