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Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?

J. Risk Financial Manag. 2022, 15(11), 520; https://doi.org/10.3390/jrfm15110520
Posted: 07 Dec 2022
Pankaj Agrrawal, Faye Gilbert and J Harkins
University of Maine, Independent and Independent

Abstract:

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CAPM; beta; estimation; intervalling; intervaling; frequency; window-length; timeframes;beta drift; stationarity; tracking error; portfolio beta hedging; multi-asset investing; systematic risk