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THE FAMA-MACBETH APPROACH REVISITEDTo Increase The Precision Of The Resulting Beta Estimates. The Sample Period 1926-1968 Is Divided Into 9 Subsets, As Described In Table 1. Each Subset Is In Turn Segmented Into Three Non-overlapping Sub-periods. Individual Stocks’ Betas Are Estimated During The First One, And Stocks Are Subsequently Ranked According To Those Estimates. 5th, 2024
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