An application of the VAR technique to a beta decomposition

Darrat, Ali F.; Mukherjee, Tarun K.
March 1991
Quarterly Journal of Business & Economics;Spring91, Vol. 30 Issue 2, p75
Academic Journal
Shows the applicability and usefulness of the vector autoregressive (VAR) modeling technique in studying the causal linkages between a firm's degree of operating and financial leverage and its beta. Objectives of the study; Mandelker and Rhee model; Data and testing methodology; Four variables proposed by the Mandelker and Rhee theoretical model; Empirical results from the VAR model; Conclusions.


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