Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market
AbstractThis paper proposes an alternative approach to access the usefulness of betas and applies it to a representative sample of the Swiss stock market. The approach is based on a more pragmatic analysis of the implications of using realised, rather than expected returns and on the fact that the realised market excess return is volatile and often negative.
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Bibliographic InfoPaper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number 97.17.
Length: 19 pages
Date of creation: 1997
Date of revision:
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CAPITAL MARKET ; REGRESSION ANALYSIS;
Other versions of this item:
- Dusan Isakov, 1999. "Is beta still alive? Conclusive evidence from the Swiss stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 202-212.
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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