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-- 7.2 Stock Returns and Excess Returns -- 7.3 The Market Factor -- 7.4 The Capm Risk Model -- 7.5 Summary -- References …
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We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically affects the betas of individual stocks. We find that betas...
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