Compute beta estimates based on monthly data using 5 years of data and impose different numbers of

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Compute beta estimates based on monthly data using 5 years of data and impose different numbers of minimum observations. How does the share of permno-month observations with successful beta estimates vary across the different requirements? Do you find a high correlation across the estimated betas?

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Tidy Finance With R

ISBN: 9781032389349

1st Edition

Authors: Christoph Scheuch, Stefan Voigt, Patrick Weiss

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