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Subject
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Beta risk 1 Betafaktor 1 Börsenkurs 1 CAPM 1 Capital income 1 Capital market returns 1 Factor analysis 1 Faktorenanalyse 1 Kapitaleinkommen 1 Kapitalmarktrendite 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Share price 1 Theorie 1 Theory 1 beta matrix 1 factor models 1 rank 1 risk factors and asset prices 1
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Free 1
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Book / Working Paper 1
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English 1
Author
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Ahn, Seung Chan 1 Horenstein, Alex R. 1 Wang, Na 1
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ECONIS (ZBW) 1
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Beta Matrix and Common Factors in Stock Returns
Ahn, Seung Chan - 2020
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which … estimator to analyze some selected asset pricing models with U.S. stock returns. Our results indicate that the beta matrix from …
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