Question: For Convertible Bond Arbitrage excess returns, compare: a. The beta in a monthly univariate regression on the market's excess return: 0.263715 b. The beta in

For Convertible Bond Arbitrage excess returns, compare: a. The beta in a monthly univariate regression on the market's excess return: 0.263715 b. The beta in a univariate regression on the market using 3-month excess returns. (To compute 3-month excess returns in a simplified way, add 3 monthly excess returns. The regression coefficients can still be estimated by running the regression monthly, i.e., with overlapping data, but, in this case, t-statistics need to be adjusted if you were to consider these): 0.343813

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