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Persistent link: https://www.econbiz.de/10009619852
This paper employs the Bai and Perron (1998, 2003) structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02–2008.01) sample. The third break corresponds with a...
Persistent link: https://www.econbiz.de/10010576473
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