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

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

Sahadev, Keshav; Ward, Michael; Muller, Chris J. (Routledge, 2018)

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). This research documents ...

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