Estimating beta: The international evidence
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DOI: 10.1016/j.jbankfin.2020.105968
Abstract: This paper examines different beta estimation methodologies for a large set of Developed and Emerging international markets. For all markets, estimators based on daily data outperform those based on monthly data. The optimal window length… read more here.
Keywords: beta international; international evidence; estimating beta; finance ... See more keywords