Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns
Published Online:9 Sep 2016https://doi.org/10.1287/mnsc.2016.2536
Supplemental Material
mnsc.2016.2536-sm.pdf (1 MB)
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Volume 63, Issue 11
November 2017
Pages iv-v, 3531-3997
Article Information
Supplemental Material
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Information
- Received:July 12, 2014
- Accepted:April 09, 2016
- Published Online:September 09, 2016
Copyright © 2016, INFORMS
Cite as
Turan G. Bali, Robert F. Engle, Yi Tang (2016) Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns. Management Science 63(11):3760-3779.
https://doi.org/10.1287/mnsc.2016.2536
Keywords
