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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