Stability and predictability of betas of Singapore securities (1987-1992)

• Main Authors: Loh, Amy, Wee, Wei Ling, Yeo, Poh Kuan
• Other Authors: Wendy Foo
• Format: Final Year Project
• Language: English
• Published: 2015
• Subjects: DRNTU::Business::Finance::Money
• Online Access: http://hdl.handle.net/10356/62980
• Institution: Nanyang Technological University

Betas have been broadly accepted by academic circles and the investment community as a measure of risk of stocks. With the increase of interest in investments and in the stock market of Singapore lately, there is a growing concern regarding the riskiness of stocks listed on the SES. The objective of this study is thus to examine the stability and predictability of stocks listed on the SES. The month-end price-adjusted returns of 72 stocks, randomly selected by the SES Publications Department are obtained for a six-year period from 1987 to 1992 and regressions of these data are performed to compute beta values of the stocks used in the analysis. It can be concluded from the study that the betas of both individual stocks and portfolios are relatively stable and predictable, especially so in the case of portfolios. As the number of securities in a portfolio increases, it exhibits greater stability and predictability. In the light of these findings, investors could actually effectively use beta values of earlier periods to estimate beta values of current or subsequent periods. This could assist the investors in making portfolio selection and planning of investment strategy.