Article

The impact of reference-day risk on beta estimation and a proposed solution

Published in: Investment Analysts Journal
Volume 47, issue 4, 2018 , pages: 327–342
DOI: 10.1080/10293523.2018.1497126
Author(s): Keshav SahadevGordon Institute of Business Science, South Africa, Michael WardGordon Institute of Business Science, South Africa, Chris MullerGordon Institute of Business Science, South Africa

Abstract

The ability to accurately estimate systematic risk (or beta) when reference-day risk is considered, is an ineluctable requirement for all applications of the capital asset pricing model (CAPM).

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