Simpler Better Market Betas
收藏NBER2019-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w26105
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资源简介：
This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than 2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at 2 and +4 times the
提供机构：
美国国家经济研究局
创建时间：
2019-07-01
