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No, it's not. First, what you ought to be regressing are returns, not prices. Second, by interpolating you're underestimating the variance of the asset price in the interval between index price observations. Through your choice of interpolation method, you're essentially picking an arbitrary price in the middle. What you ought to be doing is maximum ...


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2) you only take trading days for your analysis because taking in account days on which no price changes took place would shift results in a wrong direction. For exmple, you mostly take 250 trading days p.a. 3) Your time interval up to 2007 is okay and excludes the financial crisis, which is a non-normal circumstance. Therefore, your time interval can be ...


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I think this is a no-brainer. Only log-returns make sense. The average return can only be computed by averaging the sum of individual log returns. Taking the average of standard (relative) returns does not give you an average of the individual returns. Consider a simple case where the value of an investment alternates between 100 and 50 an odd number of ...



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