Description:
Statistics from a strictly mathematical viewpoint.
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Adjusted regression beta
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There is a paper by Dimson(1979) that calls for adjusted beta when you have thin trading: without thin trading the regression is: Stock return= intercept + beta*( market Index return) i.e r=a +b (rm) with the adjustment the model becomes: r=a+(one period lag beta)*(one period lag market return) +(contemporaneous beta)*(contemporaneous market return) + (one period lead beta)*(one period lead market return)... more »
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