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Bias in Fitting the Sharpe Model to Time Series Data

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  • Roll, Richard

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  • Roll, Richard, 1969. "Bias in Fitting the Sharpe Model to Time Series Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(03), pages 271-289, September.
  • Handle: RePEc:cup:jfinqa:v:4:y:1969:i:03:p:271-289_01
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    Cited by:

    1. Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few, 2015. "Alternative errors-in-variables models and their applications in finance research," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 213-227.
    2. Thomas A. Severini, 2016. "A nonparametric approach to measuring the sensitivity of an asset’s return to the market," Annals of Finance, Springer, vol. 12(2), pages 179-199, May.

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