Beta and return: One-day effect

Feinberg, Martin; Tokic, Damir
July 2002
Journal of Asset Management;Jul2002, Vol. 3 Issue 1, p67
Academic Journal
Presents a study which investigated whether stocks with higher betas decrease more than stocks with smaller betas in a single day following a major external shock to the market. Theoretical foundation; Examination of the relationship between the beta coefficient as a measure of systematic risk and the expected return on the individual security; Results and discussion.


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