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Biases in CAPM Beta Estimation

https://doi.org/10.2139/ssrn.2833056
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/bf00243979openalex-extracted
The effect of time-varying covariances on asset risk premia
inferredcites →https://doi.org/10.1007/bf00939016openalex-extracted
Nonparametric event study tests
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The evolution of capital asset pricing models
inferredcites →https://doi.org/10.1016/0304-405x(95)00865-copenalex-extracted
Markup pricing in mergers and acquisitions
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50018-6openalex-extracted
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.012openalex-extracted
The conditional CAPM does not explain asset-pricing anomalies☆
inferredcites →https://doi.org/10.1016/s0304-405x(99)00025-2openalex-extracted
Understanding the determinants of managerial ownership and the link between ownership and performance
inferredcites →https://doi.org/10.1017/s002210900000274xopenalex-extracted
Idiosyncratic Volatility and the Cross Section of Expected Returns
inferredcites →https://doi.org/10.1023/a:1014594617251openalex-extracted
Estimating Beta
inferredcites →https://doi.org/10.1023/a:1021162208290openalex-extracted
A Generalized Method for Detecting Abnormal Returns and Changes in Systematic Risk
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/377033openalex-extracted
Investigating the Behavior of Idiosyncratic Volatility*
inferredcites →https://doi.org/10.1111/j.1540-6261.1964.tb02865.xopenalex-extracted
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03312.xopenalex-extracted
STABILITY TESTS FOR ALPHAS AND BETAS OVER BULL AND BEAR MARKET CONDITIONS
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb04370.xopenalex-extracted
The Market Reaction to Stock Splits
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03743.xopenalex-extracted
The Long‐Run Performance of initial Public Offerings
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05189.xopenalex-extracted
Good News, Bad News, Volatility, and Betas
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1142/s0219091507001070openalex-extracted
Does Idiosyncratic Volatility Matter? New Zealand Evidence
inferredcites →https://doi.org/10.1142/s0219091514500258openalex-extracted
Stock Price Informativeness and Idiosyncratic Return Volatility in Emerging Markets: Evidence from China
inferredcites →https://doi.org/10.2139/ssrn.283776openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.441341openalex-extracted
The Conditional CAPM Does Not Explain Asset-Pricing Anomalies
inferredcites →https://doi.org/10.2139/ssrn.886717openalex-extracted
inferredcites →https://doi.org/10.2307/1912934openalex-extracted
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1924119openalex-extracted
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
inferredcites →https://doi.org/10.2307/2326515openalex-extracted
inferredcites →https://doi.org/10.2307/2327857openalex-extracted
Modern Portfolio Theory and Investment Analysis.
inferredcites →https://doi.org/10.2307/2328687openalex-extracted
The Long-Run Performance of Initial Public Offerings
inferredcites →https://doi.org/10.2307/2329327openalex-extracted
Good News, Bad News, Volatility, and Betas
inferredcites →https://doi.org/10.2307/2330303openalex-extracted
An Analysis of Risk in Bull and Bear Markets
inferredcites →https://doi.org/10.2307/2977928openalex-extracted
inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.2469/faj.v30.n1.61openalex-extracted
Beta Coefficients as Predictors of Return
inferredcites →https://doi.org/10.3386/w7209openalex-extracted
Understanding the Determinants of Managerial Ownership and the Link Between Ownership and Performance
inferredcites →https://doi.org/10.3386/w10852openalex-snapshot
The Cross-Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.3386/w4863openalex-snapshot
Mark-Up Pricing in Mergers and Acquisitions
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