Machine learning forecasts of asymmetric betas using firm-specific information outperform standard approaches and improve market beta reconstruction and valuation accuracy.
The equally weighted MSE is constructed for each quintile, for the benchmark (red bars) and the conditional beta forecasts (blue bars)
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Machine Learning Forecasts of Asymmetric Betas Using Firm-Specific Information
Machine learning forecasts of asymmetric betas using firm-specific information outperform standard approaches and improve market beta reconstruction and valuation accuracy.