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Volumn 48, Issue 4-6, 1999, Pages 531-539

Time-varying estimates of CAPM betas

Author keywords

CAPM beta; Recursive beta; Time varying estimate

Indexed keywords


EID: 0006288075     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0378-4754(99)00033-6     Document Type: Article
Times cited : (58)

References (7)
  • 1
    • 38249009666 scopus 로고
    • UK Unit Trust Performance 1980-1989: A passive time-varying approach
    • A. Black, P. Fraser, D. Power, UK Unit Trust Performance 1980-1989: a passive time-varying approach, J. Banking Finance 16 (1992) 1015-1033.
    • (1992) J. Banking Finance , vol.16 , pp. 1015-1033
    • Black, A.1    Fraser, P.2    Power, D.3
  • 2
    • 0003090807 scopus 로고
    • An empirical investigation of the possibility of stochastic systematic risk in the market model
    • T. Bos, P. Newbold, An empirical investigation of the possibility of stochastic systematic risk in the market model, J. Business 57 (1984) 34-41.
    • (1984) J. Business , vol.57 , pp. 34-41
    • Bos, T.1    Newbold, P.2
  • 3
    • 0000708249 scopus 로고
    • The form of time variation of systematic risk: Some Australian evidence
    • R. Brooks, R. Faff, J. Lee, The form of time variation of systematic risk: some Australian evidence, Appl. Financial Economics 2 (1992) 191-198.
    • (1992) Appl. Financial Economics , vol.2 , pp. 191-198
    • Brooks, R.1    Faff, R.2    Lee, J.3
  • 5
    • 85015665736 scopus 로고
    • Time stationarity of systematic risk: Some Australian evidence
    • R. Faff, J. Lee, T. Fry, Time stationarity of systematic risk: some Australian evidence, J. Business Finance Accounting 19 (1992) 253-270.
    • (1992) J. Business Finance Accounting , vol.19 , pp. 253-270
    • Faff, R.1    Lee, J.2    Fry, T.3
  • 7
    • 0001912009 scopus 로고
    • Variable betas on the Stockholm exchange
    • C. Wells, Variable betas on the Stockholm exchange, Appl. Economics 4 (1994) 74-92.
    • (1994) Appl. Economics , vol.4 , pp. 74-92
    • Wells, C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.