haku: @author Vijh, A. M. / yhteensä: 3
viite: 2 / 3
Tekijä:Vijh, A. M.
Otsikko:S&P 500 trading strategies and stock betas.
Lehti:Review of Financial Studies
1994 : SPRING, VOL. 7:1, p. 215-251
Asiasana:SHARE PRICES
STOCK RETURNS
Kieli:eng
Tiivistelmä:This paper shows that S&P 500 stock betas are overstated and the non-S&P 500 stock betas are understated because of liquidity price effects caused by the S&P 500 trading strategies. The daily and weekly betas of stocks added to the S&P 500 index during 1985-1989 increase, on average, by 0.211 and 0.130. The difference between monthly betas of otherwise similar S&P 500 and non-S&P 500 stocks also equals 0.125 during this period.
SCIMA tietueen numero: 111542
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