ALBERT — All Library Books, journals and Electronic Records Telegrafenberg

Hits per page

hit 1 - 1 | 1 hit

Select All Export

Electronic Resource

AUTOCORRELATION IN MARKET MODEL RESIDUALS (1984)

Copley, Ronald E. ; Cooley, Philip L. ; Roenfeldt, Rodney L.

Oxford, UK : Blackwell Publishing Ltd

Journal of business finance & accounting 11 (1984), S. 0

add to mindlist on the mindlist

Details

ISSN: 1468-5957

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: Autocorrelation in market model residuals affects the estimate of market risk measured by beta. Correction for autocorrelation can substantially change the estimate of beta for some common stocks. In view of the importance of beta estimates in financial research and investment practice, an examination is undertaken in this paper of the prevalence of autocorrelation and two of its causes. The evidence indicates that negative autocorrelation affects estimates of beta for a large number of stocks. In addition, negative autocorrelation is most prevalent among thinly traded and low-priced stocks.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1468-5957.1984.tb00759.x

	Location	Call Number	Expected	Availability

Others were also interested in ...

Paper (German National Licenses)

Fulltext

hit 1 - 1 | 1 hit