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COMPARATIVE ANALYSIS OF RISK MEASURES: FRANCE AND THE UNITED STATES*

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References

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1978The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model

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2015CAPM: An Absurd Model61 cited

2000ESTIMATING SYSTEMATIC RISK: THE CHOICE OF RETURN INTERVAL AND ESTIMATION PERIOD55 cited

1989Estimating betas on daily data for a small stock market54 cited

1981Risk Decomposition and Portfolio Diversification When Beta is Nonstationary: A Note47 cited

1993The extent of nonstationarity of beta41 cited

1991Vector forecasting and dynamic portfolio selection: Empirical efficiency of recursive multiperiod strategies41 cited

1981Beta Nonstationarity, Portfolio Residual Risk and Diversification38 cited

2016Betas Used by Professors: A Survey With 2,500 Answers34 cited

2007Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach33 cited

1992The dynamic and stochastic instability of betas: Implications for forecasting stock returns31 cited

1981Beta Stationarity and Estimation Period: Some Analytical Results31 cited

1991Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges28 cited