Go to www.mhhe.com/bkm and link to Chapter 7 materials, where you will find a spreadsheet with monthly
Question:
a. Estimate the index model for each firm over the full five-year period. Compare the betas of each firm.
b. Now estimate the betas for each firm using only the first two years of the sample and then using only the last two years. How stable are the beta estimates obtained from these shorter subperiods?
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a b As a first pass we note that large standard deviation of the beta estimates None of the subperio...View the full answer
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Related Book For 
Essentials of Investments
ISBN: 978-0078034695
9th edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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