Abstract:During decades, tests have been developed to verify whether the beta is the best tool to explain the returns of securities on the stock market. Moreover, the value of the beta and its coefficient of determination (R-squared) vary with different parameters used for estimating the beta. In this paper, we investigate for the parameters that provide a higher explanation when we estimate the beta on the Portuguese stock market. We use all nine economic groups listed on the Euronext Lisbon and, for each of those gro… Show more
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