An investigation of the market model when prices are observed with error
The market model, which relates securities returns to their systematic risk (β), plays a major role in finance. The estimation of β , in particular, is fundamental to many empirical studies and investment decisions. This dissertation develops a model which explains the observed serial correlations...
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| Language: | English |
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University of British Columbia
2010
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| Online Access: | http://hdl.handle.net/2429/25797 |