Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice?-Reference-Cited by-同舟云学术

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Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice?

Published:2020-07 Issue:7 Volume:6 Page:e04339
ISSN:2405-8440
Container-title:Heliyon
language:en
Short-container-title:Heliyon

Author:

Pham Chinh Duc,Phuoc Le Tan^ORCID

Funder

VNU-HCM

Publisher

Elsevier BV

Subject

Multidisciplinary

Reference93 articles.

1. On the estimation and stability of beta;Alexander;J. Financ. Quant. Anal.,1980

2. Stock return predictability: is it there?;Ang;Rev. Financ. Stud.,2007

3. When BLUE is not best: non-normal errors and the linear model;Baissa;Pol. Sci. Res. Methods,2018

4. Which alpha?;Barillas;Rev. Financ. Stud.,2017

5. Comparing asset pricing models;Barillas;J. Finance,2018

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