Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period.
This paper extends the existing literature into the relationship between beta stability and the length of the estimation period. Specifically of our analysis in the use of powerful new econometrics tests and their application to non-US data, namely, Australian monthly stock returns.
Year of publication: |
1996
|
---|---|
Authors: | Faff, R. ; Brooks, R. |
Institutions: | School of Economics, Finance and Marketing, RMIT University |
Subject: | TESTS | FINANCIAL MARKET | EVALUATION |
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