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Beta Nonstationarity, Portfolio Residual Risk and Diversification

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  • Chen, Son-Nan

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  • Chen, Son-Nan, 1981. "Beta Nonstationarity, Portfolio Residual Risk and Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(01), pages 95-111, March.
  • Handle: RePEc:cup:jfinqa:v:16:y:1981:i:01:p:95-111_00
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    Cited by:

    1. Gauri Ghai & Maria De Boyrie & Shahid Hamid & Arun Prakash, 2001. "Estimation of global systematic risk for securities listed in multiple markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 117-130.
    2. Huang, Ho-Chuan (River), 2003. "Tests of regime-switching CAPM under price limits," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 305-326.
    3. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    4. Korkmaz, Turhan & Cevik, Emrah Ismail & Gurkan, Serhan, 2010. "Testing the international capital asset pricing model with Markov switching model in emerging markets," MPRA Paper 71481, University Library of Munich, Germany, revised 2010.
    5. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta
      [Non-Synchronous Trading In Indonesia Stock Exchange]
      ," MPRA Paper 36981, University Library of Munich, Germany.
    6. Pasaribu, Rowland Bismark Fernando, 2009. "Koreksi Bias Koefisien Beta
      [Non-Synchronous Trading In Indonesia Stock Exchange]
      ," MPRA Paper 39874, University Library of Munich, Germany.
    7. Michael Basch & Gonzalo García-Huidobro, 1997. "Costo de Capital en Segmentos Industriales: Una Estimación Robusta," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 139-160.
    8. Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, EconWPA.

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