Bad Beta, Good Beta (AER 2004)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
John Y. Campbell, Tuomo Vuolteenaho Bad Beta, Good Beta AER 2004 5 1249 - 1275 G12, G14, N22 -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 0 - not available online 0 - not available online Vector autoregression (VAR), Ordinary least squares (OLS) Time series, Cross section historical monthly returns on stock portfolios sorted by size, book-to-market ratios, and market betas USA unknown

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1257/0002828043052240 IDEAS: a/aea/aecrev/v94y2004i5p1249-1275.html EconPapers: RePEc:aea:aecrev:v:94:y:2004:i:5:p:1249-1275


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