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The dispersion of beta estimates and the investors’ heterogeneous Belief : evidence from the stock market in China
Hong, Jiawei; Yu, Xiaojian; Xiao, Weilin; Zhang, Xili - In: International review of economics & finance : IREF 79 (2022), pp. 540-550
Persistent link: https://www.econbiz.de/10013345756
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Linda - 2020
Persistent link: https://www.econbiz.de/10012319222
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020
Persistent link: https://www.econbiz.de/10012220505
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Stock return outliers and beta estimation : the case of U.S. pharmaceutical companies
Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of international financial markets, … 30 (2014), pp. 153-171
Persistent link: https://www.econbiz.de/10011293772
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Performance evaluation of modified adaptive Kalman filters, least means square and recursive least square methods for market risk beta and VaR estimation
Das, Atanu - In: Quantitative finance and economics 3 (2019) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10012176444
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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Investment styles and the multiple testing of cross-sectional stock return predictability
Vincent, Kendro; Hsu, Yu-Chin; Lin, Hsiou-Wei - In: Journal of financial markets 56 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013282501
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CAPM with fuzzy returns and hypothesis testing
Mbairadjim Moussa, A.; Sadefo Kamdem, J.; Shapiro, A.F.; … - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 40-57
Over the last four decades, several estimation issues of the beta have been discussed extensively in many articles. An … Pricing Model. Our goal in this paper is two-fold. After studying the impact of the return interval on the beta estimates, we … the returns based on closing prices with the intraperiod volatility for the representation by the means of a fuzzy random …
Persistent link: https://www.econbiz.de/10010753208
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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New estimates of time-varying currency betas : a trivariate BEKK approach
Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139
Persistent link: https://www.econbiz.de/10010478223