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Beta as a Random Coefficient

Fabozzi, Frank J.; Francis, Jack Clark - In: Journal of Financial and Quantitative Analysis 13 (1978) 01, pp. 101-116

Persistent link: https://www.econbiz.de/10005139309

The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model

Francis, Jack Clark; Fabozzi, Frank J. - In: Journal of Financial and Quantitative Analysis 14 (1979) 02, pp. 351-360

Persistent link: https://www.econbiz.de/10005140558

Stability of mutual fund systematic risk statistics

Francis, Jack Clark; Fabozzi, Frank J. - In: Journal of Business Research 8 (1980) 2, pp. 263-275

Persistent link: https://www.econbiz.de/10005465988

Beta as a random coefficient

Fabozzi, Frank J.; Francis, Jack Clark - In: Journal of financial and quantitative analysis : JFQA 13 (1978) 1, pp. 101-116

Persistent link: https://www.econbiz.de/10002174059

Beta as a random coefficient

Fabozzi, Frank J.; Francis, Jack Clark - In: Readings in investments, (pp. 162-177). 1980

Persistent link: https://www.econbiz.de/10002174069

Industry effects and the determinants of beta

Fabozzi, Frank J.; Francis, Jack Clark - In: The quarterly review of economics and business : … 19 (1979) 3, pp. 61-74

Persistent link: https://www.econbiz.de/10002174078

Stability tests for alphas and betas over bull and bear market conditions

Fabozzi, Frank J.; Francis, Jack Clark - In: The journal of finance : the journal of the American … 32 (1977) 4, pp. 1093-1099

Persistent link: https://www.econbiz.de/10002174202

Stability tests for alphas and betas over bull and bear market conditions

Fabozzi, Frank J.; Francis, Jack Clark - In: Readings in investments, (pp. 199-205). 1980

Persistent link: https://www.econbiz.de/10002174213

Stability of mutual fund systematic risk statistics

Francis, Jack Clark; Fabozzi, Frank J. - In: Journal of business research : JBR 8 (1980) 2, pp. 263-275

Persistent link: https://www.econbiz.de/10002200312

Generalized Functional Form for Mutual Fund Returns

Fabozzi, Frank J. - 2019

Jensen developed a well-known portfolio performance evaluation measure. Subsequently, Jensen formulated a return-generating model to measure portfolio performance. Lee proposed a generalized specification of the model. This paper investigates the implications of the generalized return-generating...

Persistent link: https://www.econbiz.de/10012904361