Literaturnachweis - Detailanzeige
Autor/inn/en | Chong, James; Halcoussis, Dennis; Phillips, G. Michael |
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Titel | Misleading Betas: An Educational Example |
Quelle | In: American Journal of Business Education, 5 (2012) 5, S.617-622 (6 Seiten)
PDF als Volltext |
Sprache | englisch |
Dokumenttyp | gedruckt; online; Zeitschriftenaufsatz |
ISSN | 1942-2504 |
Schlagwörter | Business Administration Education; Models; Risk; Regression (Statistics); Data; Computation; Discussion (Teaching Technique) |
Abstract | The dual-beta model is a generalization of the CAPM model. In the dual-beta model, separate beta estimates are provided for up-market and down-market days. This paper uses the historical "Anscombe quartet" results which illustrated how very different datasets can produce the same regression coefficients to motivate a discussion of the dual-beta model. Using data from 39 mutual funds, it is shown how very different dual-beta models can lead to the same CAPM beta estimates, much like the Anscombe quartet scenarios. (As Provided). |
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Erfasst von | ERIC (Education Resources Information Center), Washington, DC |
Update | 2020/1/01 |