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Australia Equity Model (AUE3) Research Notes
Nov 2, 2002
This document details the estimation of the third version of Barra's Australia Equity Model, AUE3, and highlights important advantages of this model over its predecessor, AUE2. Section 1 focuses on the model's estimation universe and its industry and risk index factors. Section 2 discusses the estimation of the factor model and refinements made. AUE3's common-factor and specific risk forecasts are discussed in Section 3. Section 4 looks at the performance of the model and Section 5 compares the risk forecasts of AUE3 with those of AUE2.
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