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~institution:"School of Economics and Management, University of Aarhus"
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Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
-
School of Economics and Management, University of Aarhus
-
2014
price
risks
, or betas, are priced in the cross-section of expected returns. Based on a novel highfrequency dataset of almost …
Persistent link: https://www.econbiz.de/10011096184
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