Misspecification testing and robust estimation of the market model: estimating betas for the FT-SE industry baskets

European Journal of Finance

Volumn 2, Issue 4, 1996, Pages 319-331

  Mills, Terence C ^a   Coutts, J Andrew ^b  

^a LOUGHBOROUGH UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

industry baskets; market model; misspecification; robust estimation

Indexed keywords

EID: 0010865411     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518479600000012     Document Type: Article

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