Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks
收藏NBER1999-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7330
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
1999-09-01
