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  • Search: subject:"historical beta"
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Year of publication
Subject
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historical beta 6 beta 2 calculated beta 2 common sense 2 expected beta 2 Aktienindex 1 Beta risk 1 Betafaktor 1 Index futures 1 Index-Futures 1 Option trading 1 Optionsgeschäft 1 Stock index 1 adjusted beta 1 ask 1 beta coefficient 1 beta-ranked portfolios 1 bid 1 broker 1 cost equity 1 decimal quote 1 implied beta 1 index inclusion effect 1 market maker 1 net trading range 1 portfolio 1 quote 1 quote size 1 recommendation 1 risk 1 securities arbitration 1 spread 1 standard deviation 1 suitability 1 systematic risk 1
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Online availability
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Free 5 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 1 Other 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 4 Undetermined 2
Author
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Fernandez, Pablo 4 Bermejo, Vicente 1 Booth, Richard A. 1 Coakley, Jerry 1 Dotsis, George 1 Kourtis, Apostolos 1 Psychoyios, Dimitris 1
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Institution
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IESE Business School, Universidad de Navarra 4
Published in...
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IESE Research Papers 4 International journal of finance & economics : IJFE 1
Source
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RePEc 4 BASE 1 ECONIS (ZBW) 1
Showing 1 - 6 of 6
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The S&P 500 index inclusion effect : evidence from the options market
Coakley, Jerry; Dotsis, George; Kourtis, Apostolos; … - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 1157-1171
Persistent link: https://www.econbiz.de/10014470069
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Beta = 1 does a better job than calculated betas
Fernandez, Pablo; Bermejo, Vicente - IESE Business School, Universidad de Navarra - 2009
We compute the correlations of the annual stock returns (1989-2008) of the Dow Jones companies with a) Rm; and with b) Rm; and find that the second correlation (assuming beta = 1 for all companies) is higher than the first one, on average, and for all companies except Caterpillar and General...
Persistent link: https://www.econbiz.de/10008479532
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Betas used by professors: A survey with 2,500 answers
Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2009
We report 2,510 answers from professors from 65 countries and 934 institutions. 1,791 respondents use betas, but 107 of them do not justify the betas they use. 97.3% of the professors that justify the betas use regressions, webs, databases, textbooks or papers (the paper specifies which ones),...
Persistent link: https://www.econbiz.de/10008479535
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Using Spread and Net Trading Range to Measure Risk in Suitability Cases
Booth, Richard A. - 2006
Suitability is one of the most common issues that arises in securities arbitrations. Yet it is also one of the most difficult issues to resolve. Up to now there has been no easy and reliable way to compare the risk of one stock or portfolio with another stock or portfolio measured as of the time...
Persistent link: https://www.econbiz.de/10009432042
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Are calculated betas good for anything?
Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2004
We calculate betas of 3,813 companies using 60 monthly returns each day of December 2001 and January 2002. The median (average) of the maximum beta divided by the minimum beta was 3.07 (15.7). The median of the percentage daily change (in absolute value) of the betas was 20%. Industry betas are...
Persistent link: https://www.econbiz.de/10005021714
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On the instability of betas: The case of Spain
Fernandez, Pablo - IESE Business School, Universidad de Navarra - 2004
It is a big mistake to use betas calculated from historical data to compute the required return to equity. It is a mistake for seven reasons: because betas calculated from historical data change considerably from one day to the next; because calculated betas depend very much on which stock index...
Persistent link: https://www.econbiz.de/10005021808
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