Analysing the return distributions of Australian stocks: the CAPM, factor models and quantile regressions
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- Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
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Keywordscapital asset pricing model; CAPM; book to market ratios; quantile regression; S%P/ASX-50 stocks; return distributions; Australian stocks; factor models; Australia; risk assessment; quantitative finance.;
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