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Applied Economics Letters Volume 4, 1997 - Issue 9
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Original Articles

Is Beta dead? The role of alternative estimation methods

Andrew Clare
,
Richard Priestley
&
Stephen Thomas
Pages 559-562 | Published online: 05 Oct 2010

Citations (14)

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Read on this site (5)

Tariro Makwasha, Jill Wright & Param Silvapulle. (2019) Panel data analysis of multi-factor capital asset pricing models. Applied Economics 51:60, pages 6459-6475.
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M. V. Esteban, E. Ferreira & S. Orbe-Mandaluniz. (2015) Nonparametric methods for estimating and testing for constant betas in asset pricing models. Applied Economics 47:25, pages 2577-2607.
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María Victoria Esteban & Susan Orbe-Mandaluniz. (2010) A nonparametric approach for estimating betas: the smoothed rolling estimator. Applied Economics 42:10, pages 1269-1279.
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Robert Faff. (2004) A simple test of the Fama and French model using daily data: Australian evidence. Applied Financial Economics 14:2, pages 83-92.
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Terrence A. Hallahan & Robert W. Faff. (2001) Induced persistence or reversals in fund performance?: the effect of survivorship bias. Applied Financial Economics 11:2, pages 119-126.
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Articles from other publishers (9)

Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez. (2023) Unraveling the relationship between betas and ESG scores through the Random Forests methodology. Risk Management 25:3.
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. 2020. A Fast and Frugal Finance. A Fast and Frugal Finance 233 248 .
. 2020. A Fast and Frugal Finance. A Fast and Frugal Finance 203 227 .
Karen Benson & Robert Faff. (2013) ?. Abacus 49, pages 24-31.
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Howard W. Chan & Robert W. Faff. (2005) Asset Pricing and the Illiquidity Premium. The Financial Review 40:4, pages 429-458.
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Robert W. Faff. (2003) Creating Fama and French Factors with Style. Financial Review 38:2, pages 311-322.
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Robert Faff. (2016) An Examination of the Fama and French Three-Factor Model Using Commercially Available Factors. Australian Journal of Management 26:1, pages 1-17.
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Andrew D Clare, M Currim Oozeer, Richard Preistley & Stephen H Thomas. (2000) Modeling the Risk Premium on Eurodollar Bonds. The Journal of Fixed Income 9:4, pages 61-73.
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A.D. Clare, R. Priestley & S.H. Thomas. (1998) Reports of beta's death are premature: Evidence from the UK. Journal of Banking & Finance 22:9, pages 1207-1229.
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