Some Estimation Issues on Betas: A Preliminary Investigation on the

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Journal of Naval Science and Engineering 2015, Vol. 11, No.3, pp. 1

The Profitability of Pairs Trading in an Emerging Market Setting

the portfolio (Luenberger, 1998). The largest portfolio size in our study was limited to 20 stocks due to the small sample of stocks. Portfolio construction, say for annual estimation period, start...

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The capital asset pricing model (CAPM) developed by Sharpe (1964) and Lintner (1965) states that the relevant risk measure in holding a given security is the systematic risk, or beta, because all ...

A building cost estimation model based on functional