adjusted beta question

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dddolphin

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Schweser vol3-224 said that for adjusted beta:
beta(t) = alpha 0 + alpha 1 * beta (t-1)
the higher the alpha1 the faster the beta get closer to 1.
I think it is WRONG. Coz one fast example is that we can set alpha 0 to 1. So alpha 1 = 1 - alpha 0 = 0
no matter what beta (t-1) you give, the new beta (1) is always 1. which is different from what is concluded by schweser. I also couldn’t find the conclusion from the curriculum.
 
Its higher the alpha0, more faster beta(t) will move to its mean reverting level
 
quantforCFA Wrote:
——————————————————-
> Its higher the alpha0, more faster beta(t) will
> move to its mean reverting level
that means schweser is all the way WRONG about this. lol
 
I called Tim Swaby out on this and he agrees. It is wrong in various parts of the schweser ciriculum and in a problem in Book 6 3am (I think).
 
so what’s the final version now??
is it something different from “the higher the alpha1 the faster the beta get closer to 1”
 
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