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Wavelet-based beta estimation and Japanese industrial stock prices

Yamada, Hiroshi - In: Applied economics letters 12 (2005) 2, pp. 85-88

Persistent link: https://www.econbiz.de/10002616046

Time variation of CAPM betas across market volatility regimes

Abdymomunov, Azamat; Morley, James C. - In: Applied financial economics 21 (2011) 19/21, pp. 1463-1478

Persistent link: https://www.econbiz.de/10009356092

Parameters that provide higher explanation estimating betas in the Portuguese stock market

Barajas, Angel; Carvalho, Sonia - In: Economic research 26 (2013) 2, pp. 117-128

Persistent link: https://www.econbiz.de/10009762472

Evidence on industry cost of equity estimators

Gharaibeh, Omar; Bornholt, Graham; Dempsey, Michael - In: The international journal of business and finance … 8 (2014) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10010361336

Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined … the observation grid shrinking to zero. We first form a consistent and asymptotically mixed normal estimate of beta using … all the observations within the time interval under the null hypothesis that beta is constant. Using it we form an …

Persistent link: https://www.econbiz.de/10010253467

Tail risk, beta anomaly, and demand for lottery : what explains cross-sectional variations in equity returns?

Ali, Asgar; Badhani, K. N. - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 775-804

Persistent link: https://www.econbiz.de/10014329083

Mean reversals and stock market overreactions : further evidence from India

Saji, T. G. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 4, pp. 467-477

Persistent link: https://www.econbiz.de/10014331571

Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices

Barunik, Jozef; Nevrla, Matĕj - In: Journal of financial econometrics 21 (2023) 5, pp. 1590-1646

Persistent link: https://www.econbiz.de/10014444704

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

Price delay and post-earnings announcement drift anomalies : the role of option-implied betas

Ho, Hwai-chung; Tsai, Wei-Che - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012667185