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A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas

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  • Vasicek, Oldrich A
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    File URL: http://links.jstor.org/sici?sici=0022-1082%28197312%2928%3A5%3C1233%3AANOUCI%3E2.0.CO%3B2-G&origin=repec
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 28 (1973)
    Issue (Month): 5 (December)
    Pages: 1233-39

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    Handle: RePEc:bla:jfinan:v:28:y:1973:i:5:p:1233-39

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    Cited by:
    1. Marc Goergen & Luc Renneboog, 2004. "Shareholder Wealth Effects of European Domestic and Cross-border Takeover Bids," European Financial Management, European Financial Management Association, vol. 10(1), pages 9-45.
    2. Lubos Pástor & Robert F. Stambaugh, . "Costs of Equity Capital and Model Mispricing," Rodney L. White Center for Financial Research Working Papers 4-98, Wharton School Rodney L. White Center for Financial Research.
    3. Edward J. Green & Jose A. Lopez & Zhenyu Wang, 2001. "The Federal Reserve banks' imputed cost of equity capital," Working Paper Series 2001-01, Federal Reserve Bank of San Francisco.
    4. Calcagno, R. & Renneboog, L.D.R., 2004. "Capital Structure and Managerial Compensation: The Effects of Renumeration Seniority," Discussion Paper 2004-120, Tilburg University, Center for Economic Research.
    5. Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 312-334.
    6. Daniella Acker & Nigel W. Duck, 2004. "Estimating Betas and Stock-Return Correlations From Monthly Data: A Warning Note," Bristol Economics Discussion Papers 04/557, Department of Economics, University of Bristol, UK.
    7. Geoffrey Shuetrim, 1998. "Systematic Risk Characteristics of Corporate Equity," RBA Research Discussion Papers rdp9802, Reserve Bank of Australia.
    8. Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian, 2014. "Scale and Skill in Active Management," CEPR Discussion Papers 9854, C.E.P.R. Discussion Papers.
    9. Nikolay Stoychev, 2002. "Financial assets: market behavior and profitability," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 68-92.
    10. Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 74-96, December.
    11. Nawazish Mirza & Ghalia Shabbir, 2005. "The Death of CAPM: A Critical Review," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(2), pages 35-54, Jul-Dec.
    12. Giulio Cifarelli, 2001. "Introduction," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 286-288.
    13. Nawazish Mirza & Daniel Danny Simatupang, 2004. "Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 9(1), pages 149-173, Jan-June.
    14. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
    15. Bruce N. Lehmann, 1990. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc.
    16. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.

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