Browsing Department of Finance and Real Estate by Author "Seo, Yongho"
Now showing items 1-1 of 1
-
Measurement Issues In The Capital Asset Pricing Model & Size Effect And Duration
Seo, Yongho (Finance & Real Estate, 2013-03-20)It has been observed that the value of an asset's beta varies with the frequency of the data used to generate the value, a phenomenon hereafter referred to as "time scale", or simply "scale". If the scale effect is strong ...