Building better betas is Ibbotson's answer to beta controversy

Business Valuation UpdateVol. 3 No. 8
August 1997
Shannon P. Pratt, CFA, ARM, ABAR, FASA, MCBA, CM&AA

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beta, capital asset pricing model (CAPM), ibbotson associates, fama french three factor model, systematic risk

Summary

Several recent research studies have provided significant support for two interesting hypotheses regarding betas: The lag effect: For all but the largest companies, the prices of individu ...