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Which of the following statements is FALSE? Evidence suggests that betas tend to revert toward zero over time. When using historical data, there is always
Which of the following statements is FALSE?
Evidence suggests that betas tend to revert toward zero over time.
When using historical data, there is always the possibility of estimation error.
For stocks, common practice is to use at least two years of weekly return data or five years of monthly return data when estimating beta.
We should be suspicious of beta estimates that are extreme relative to industry norms.
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