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Browsing Research Articles (University of Pretoria) by UP Author "Sahadev, Kesh"

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A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk

Sahadev, Kesh; Ward, Michael; Muller, Chris J. (Elsevier, 2018-02)

The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk is an ineluctable requirement for all applications of the capital asset pricing model (CAPM). This research documents ...

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