Showing 1 - 10 of 115
Persistent link: https://www.econbiz.de/10000958854
Persistent link: https://www.econbiz.de/10000627888
Persistent link: https://www.econbiz.de/10000603372
Persistent link: https://www.econbiz.de/10001338809
Persistent link: https://www.econbiz.de/10011480313
Persistent link: https://www.econbiz.de/10011366975
Persistent link: https://www.econbiz.de/10011368742
Persistent link: https://www.econbiz.de/10012138644
Persistent link: https://www.econbiz.de/10011995731
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...
Persistent link: https://www.econbiz.de/10012105362