Jordi Esteve Comas Didac Ramirez Sarrio (Universitat de Barcelona)
Abstract
Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.
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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
176.
Length: 21 pages Date of creation: 2007 Date of revision: Handle: RePEc:bar:bedcje:2007176
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain. Web page: http://www.ere.ub.es More information through EDIRC
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Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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