Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice
Year of publication: |
2009-06-22
|
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Authors: | Cosemans, M. ; Frehen, R.G.P. ; Schotman, P.C. ; Bauer, R.M.M.J. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | asset pricing | portfolio choice | time-varying betas | Bayesian econometrics | panel data |
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