{"id":"https://openalex.org/W2090740908","doi":"https://doi.org/10.2307/3665827","title":"Time-Series Processes of Utility Betas: Implications for Forecasting Systematic Risk","display_name":"Time-Series Processes of Utility Betas: Implications for Forecasting Systematic Risk","publication_year":1990,"publication_date":"1990-01-01","ids":{"openalex":"https://openalex.org/W2090740908","doi":"https://doi.org/10.2307/3665827","mag":"2090740908"},"language":"en","primary_location":{"id":"doi:10.2307/3665827","doi":"https://doi.org/10.2307/3665827","is_oa":false,"landing_page_url":"https://doi.org/10.2307/3665827","pdf_url":null,"source":{"id":"https://openalex.org/S157946625","display_name":"Financial Management","issn_l":"0046-3892","issn":["0046-3892","1755-053X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-2","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Management","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5055437003","display_name":"Michael Joseph Gombola","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael J. Gombola","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5027871472","display_name":"Douglas R. Kahl","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Douglas R. Kahl","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":2850,"currency":"USD","value_usd":2850},"apc_paid":null,"fwci":2.3854,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.90319519,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":95},"biblio":{"volume":"19","issue":"3","first_page":"84","last_page":"84"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9574999809265137,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9574999809265137,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.020899999886751175,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.010200000368058681,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/random-walks","display_name":"random walks","score":0.5460000038146973},{"id":"https://openalex.org/keywords/bayesian-adjustment","display_name":"Bayesian adjustment","score":0.9369999766349792},{"id":"https://openalex.org/keywords/time-varying-beta","display_name":"time-varying beta","score":0.6200000047683716},{"id":"https://openalex.org/keywords/autoregression","display_name":"autoregression","score":0.6119999885559082}],"concepts":[{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.6978378295898438},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.49721482396125793},{"id":"https://openalex.org/C80212096","wikidata":"https://www.wikidata.org/wiki/Q1975416","display_name":"Systematic risk","level":2,"score":0.4768187403678894},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42525580525398254},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37009334564208984},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.07752874493598938},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2307/3665827","doi":"https://doi.org/10.2307/3665827","is_oa":false,"landing_page_url":"https://doi.org/10.2307/3665827","pdf_url":null,"source":{"id":"https://openalex.org/S157946625","display_name":"Financial Management","issn_l":"0046-3892","issn":["0046-3892","1755-053X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-2","jufo-2","norway-2","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Management","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1496046125","https://openalex.org/W1561251353","https://openalex.org/W1582267616","https://openalex.org/W1600872637","https://openalex.org/W1991126896","https://openalex.org/W2026579899","https://openalex.org/W2027133158","https://openalex.org/W2030727884","https://openalex.org/W2035339685","https://openalex.org/W2037371503","https://openalex.org/W2037990793","https://openalex.org/W2062035982","https://openalex.org/W2072980348","https://openalex.org/W2075910563","https://openalex.org/W2090393090","https://openalex.org/W2094322896","https://openalex.org/W2097720489","https://openalex.org/W2169480381"],"related_works":["https://openalex.org/W1667663139","https://openalex.org/W1999888451","https://openalex.org/W4402576797","https://openalex.org/W1988704726","https://openalex.org/W2021846544","https://openalex.org/W2031095278","https://openalex.org/W1855805681","https://openalex.org/W7047269511","https://openalex.org/W7014685495","https://openalex.org/W55988646"],"abstract_inverted_index":{"bility,":[0],"the":[1,12,35,40,46,53,58,86],"forecaster":[2],"needs":[3],"alternatives":[4],"for":[5],"forecasting":[6,77],"a":[7,30,104],"time-varying":[8],"relationship,":[9],"such":[10],"as":[11],"general":[13],"Bayesian":[14,89,109],"adjustment":[15,90,110],"process":[16,107],"[25]":[17],"or":[18],"its":[19],"specific":[20],"variations":[21],"employed":[22],"by":[23],"Merrill":[24],"Lynch":[25],"[18].":[26],"The":[27,72],"appropriateness":[28],"of":[29,39,49,55,60,74,82,88],"given":[31],"procedure":[32],"depends":[33,79],"on":[34,45,80],"particular":[36],"time-series":[37,47],"properties":[38,48],"beta":[41,56,78],"being":[42],"forecast.":[43],"Information":[44],"utility":[50,61],"betas,":[51],"including":[52],"variability":[54],"and":[57],"tendency":[59,94],"betas":[62,102],"to":[63,95,97],"auto-regress":[64],"toward":[65],"an":[66,98],"underlying":[67,99],"mean,":[68,100],"is":[69],"presented":[70],"here.":[71],"degree":[73],"difficulty":[75],"in":[76,92],"both":[81],"these":[83],"properties.":[84],"Since":[85],"basis":[87],"lies":[91],"beta's":[93],"return":[96],"if":[101],"follow":[103],"random":[105],"walk":[106],"then":[108],"will":[111],"be":[112],"fruitless.":[113]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
