Eckel, Stefanie Martina; Löffler, Gunter; Maurer, Alina; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
regression with the excess return R−RF
as dependent variable, where R is the monthly stock return and RF denotes the risk … industry effects, for example,
Barker and Loughran (2007) include the mean industry correlation as an explanatory
variable; to … beta difference
used as an explanatory variable by Barker and Loughran (2007) is the same for each
pair. Ceteris paribus …