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Title: Instability and Time Scale Dependence of Beta in an Emerging Market Economy: Evidence from India
Authors: Amlendu Kumar Dubey
Issue/Year: Jan-2014
Section: Research
Abstract: Financial markets are characterized by heterogeneous investors. The perception of risk in holding different stocks by different trading classes varies. Also, in emerging market economies, conditions are very fluid. Assuming that the risk in holding a firmís stock will be constant over a longer period would be rather restrictive. This paper tests for the stability of beta of different trading stocks in the Indian equity market. It finds considerable instability in beta estimates of different trading stocks.
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