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test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …
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We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
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