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| Author: | Hsia, C.-C. Fuller, B. Chen, B.Y.J. |
| Title: | Is beta dead or alive? |
| Journal: | Journal of Business Finance and Accounting
2000 : APR/MAY, VOL. 27:3&4, p. 283-311 |
| Index terms: | Beta factor Securities Return on investment Mathematical models Time series Capital asset pricing Arbitrage pricing theory Theories |
| Language: | eng |
| Abstract: | In the 1990s, the debate about whether beta is dead or alive has heated up once again. One school of thought demonstrates that beta is dead or at least fatally ill, because beta fails to explain the behavior of secutity returns. The other school of thought shows that beta is alive if annual returns instead of monthly or daily returns are used as input data. Since beta is at the heart and soul of a large number of theoretical as well as empirical financial studies, a clarification about this issue is necessary. |
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