Estimating the beta-return relationship by considering the sign and the magnitude of daily returns
Year of publication: |
2018
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Authors: | Ben Sita, Bernard |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 67.2018, p. 28-35
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Subject: | Asset pricing | CAPM | Cross-sectional regression | HML | SMB | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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