作者：CHANG, WC; WEISS, DE
作者单位：Northern Illinois University
摘要：Understanding the stochastic behavior of beta is fundamental to portfolio risk management. We evaluate the time series properties of beta for oil industry stocks, machinery industry stocks, and a random sample of 100 stocks. Daily returns for stocks in each of these industries and the random sample are obtained from the Center for Research in Security Prices tapes for the period July 1962 through December 1986 and are grouped into 98 quarter-year, and also 49 half-year, nonoverlapping time int...
作者：LI, KH; RAGHUNATHAN, TE; RUBIN, DB
作者单位：Harvard University; University of Washington; University of Washington Seattle
摘要：We present a procedure for computing significance levels from data sets whose missing values have been multiply imputed data. This procedure uses moment-based statistics, m greater-than-or-equal-to 3 repeated imputations, and an F reference distribution. When m = infinity, we show first that our procedure is essentially the same as the ideal procedure in cases of practical importance and, second, that its deviations from the ideal are basically a function of the coefficient of variation of the...
