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The relationship of capitalization period length with market portfolio composition and betas

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  • Jordi Esteve Comas
  • Didac Ramirez Sarrio

    (Universitat de Barcelona)

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    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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    Bibliographic Info

    Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 176.

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    Length: 21 pages
    Date of creation: 2007
    Date of revision:
    Handle: RePEc:bar:bedcje:2007176

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    Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
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