A researcher wishes to examine the link between the returns on two assets A and B in
Question:
A researcher wishes to examine the link between the returns on two assets A and B in situations where the price of B is falling rapidly. To do this, he orders the data according to changes in the price of B and drops the top 80% of ordered observations. He then runs a regression of the returns of A on the returns of B for the remaining lowest 20% of observations. Would this be a good way to proceed? Explain your answer.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: