JER, 第 8-9 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2003 |
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第 1 到 3 筆結果,共 31 筆
第 34 頁
... beta change - points might be detected if T were allowed to be too small . Moreover , the estimates of the market model using too small a sample might be unreliable.9 The CRSP NYSE / AMEX equally - weighted market returns are used for ...
... beta change - points might be detected if T were allowed to be too small . Moreover , the estimates of the market model using too small a sample might be unreliable.9 The CRSP NYSE / AMEX equally - weighted market returns are used for ...
第 38 頁
... beta decreased 3 beta increased 2 0 -36 -33 30 -27 -24 -21 -18 -15 -12 -9 -6 -3 0 3 6 9 12 15 18 21 24 27 30 beta change month 4.2 A Sensitivity Analysis of Return Changes to Beta Changes The beta pricing model also implies that the ...
... beta decreased 3 beta increased 2 0 -36 -33 30 -27 -24 -21 -18 -15 -12 -9 -6 -3 0 3 6 9 12 15 18 21 24 27 30 beta change month 4.2 A Sensitivity Analysis of Return Changes to Beta Changes The beta pricing model also implies that the ...
第 39 頁
... beta changes are between -0.5 and 0.5 , and 64.49 percent are between −1.0 and +1.0 . The overall average of the absolute value of beta changes is 0.97 . The important findings from the table are that the changes in betas have the same ...
... beta changes are between -0.5 and 0.5 , and 64.49 percent are between −1.0 and +1.0 . The overall average of the absolute value of beta changes is 0.97 . The important findings from the table are that the changes in betas have the same ...
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