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论文题目是Forecasting the future beta from historic beta in the market and the dual beta model

literature review

- beta estimation

- the market model

- the rational for the dual beta model

Data : FromFTSE100 , choose 20  smaill firms. 用过去几 年的历史数据去预测下一年的beta

β10= α0 + α1 β1+ α2 β2+ α 3 β3+ α 4β4+...+α 9β9

β09= α0 +α 9β9

--> 用general to specifc testing down

Panel data (cross -section analysis)

dual beta : beta on upside and beta on downside

总之： predictability of ordinary beta

dual beta --> comparing

Data and methodogy按步就班就行了，多余的删，按老师的改，加点内容就行

Change title to Forecasting future Beta from historic beta in the Market model and the dual beta model

Contents
Abstract
Acknowledge
Chapter 1: Introduction
Chapter 2: Literature Review
Chapter 3: Data Methodology
Chapter 4: Results
Chapter 5: Conclusion
Listed Charts and Tables
Reference

Abstract
Economists have evaluated the risk of a given stock by its beta, or the sensitivity of the stock's return to the return on the market as a whole. More recently, a beta-return model has been developed in which the required return on a stock is determined by its beta.
Fama and French (1992) show conclusively that relationship between cross-sectional stock return and beta is flat.  Following Fama and French’s cross-sectional framework but allowing for up and down market conditions, Pettengill et al.’s (1995) constant-beta model and Howton and Peterson’s (1998) dual-beta model both find that beta is significantly positive (negative) in the Singapore up (down) markets.
I predict the value of ordinary and dual beta in order to get the suitable model. This paper continues to extend the study in examining the dual-beta model in the UK stock market when the market is segmented into up and down markets. Bartholdy and Riding (1994) find that both the Dimson and Scholes and Williams methods previously used on NZ data to correct for beta have no incremental efficiency over the standard OLS estimators. But they study concludes that OLS estimators are most efficient and are closer to those based on synchronous data. Therefore I also look forward to adopt the simple OLS beta estimation to predict the beta to get my conclusion. 
Pinfold et.al (2001) argue that the fewer number of NZ stocks and high-volatility of stock prices restrain investors to hold a well-diversified portfolio in the New Zealand stock market. This study thus examines the effect of total risk together with dual betas on stock realized returns.
Consistent with previous studies, my empirical results show that the unconditional beta is flat. The dual-beta model shows that there is a significantly positive (negative) relation between stocks realized return and beta in the up (down) markets. However, after we segment the data into up and down market using the dual-beta model, we identify there exists only a significantly negative relationship between realized return and beta in the down markets; the relationship in the up markets is flat. This significant beta return relationship in the down markets reveals a special characteristic of the UK stock market.
REWRITE THIS AFTER YOU HAVE REWRITTEN THE DISSERTATION – AND FOCUS ON SUMMARISING WHAT YOU HAVE DONE AND WHAT YOU HAVE FOUND

Key Words
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