Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice?

Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice?

This research argued for estimating the Capital Asset Pricing Model (CAPM) using daily and medium-horizon data over monthly and short horizon-data. Using a Gibbs sample, the Bayesian framework via both parametric and non-parametric Bayes estimators, confidence interval approach, and six data sets (t...

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Bibliographic Details
Main Authors: Chinh Duc Pham, Le Tan Phuoc
Format: Article
Language:English
Published: Elsevier 2020-07-01
Series:Heliyon
Subjects:
Asset pricing
Bayes estimators
CAPM
Monthly data
Short-horizon data
Statistics
Online Access:http://www.sciencedirect.com/science/article/pii/S240584402031183X

Internet

http://www.sciencedirect.com/science/article/pii/S240584402031183X

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