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The asset rate of returns is the profit on a particular investment; it includes any change in the asset value, interest, commission or dividends and so, all other cash-flows which an investors receive or pays due to the investment.

1
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If I have log returns for a specific stock, then the weekly log return is the log of Friday's closing price minus the log of Monday's closing price, i.e. … However, can I also calculate the log return as the sum of the daily log returns? …
asked Mar 8 '16 by jeffrey
1
vote
1answer
What procedures can I apply to control in a regression on company returns for thinly traded stocks? Is the inclusion of the SMB-factor a potential approach? …
asked Sep 25 '15 by jeffrey
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votes
4answers
I am a bit confused about the interpretation of the regression coefficients in a regression model: $R_{t}=\beta_0+\beta_1R_{mt}+\beta_2D_{t}+\epsilon_t$ where $R_{t}$ is the log return of some stock …
asked Sep 29 '15 by jeffrey
1
vote
1answer
I am currently reading a bit about testing day of the weeks effects. I saw two different model specifications and wonder how to interpret the results. The first model type includes only 4 dummies for …
asked Sep 28 '15 by jeffrey
1
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1answer
I have two different event study approaches and I wonder if the results are exactly the same. Model 1 applies a dummy regression market model: (1) $R_{t}=\beta_{0} + \beta_{1}R_{mt}+\beta_{2}D_{t}+\ …
asked Oct 12 '15 by jeffrey
16
votes
3answers
I think this is a quite similar question for most of you, however it is not completely understandable for me at the moment: Why do we usually use returns and not prices to model financial data in time …
asked Feb 7 '15 by jeffrey
3
votes
3answers
Thus, the coefficient $\beta_{2}$ ($\beta_{3}$) signals the abnormal returns after good (bad) news. … Thus, $\beta_{4}$ shows the difference in the returns after good news in comparison to bad news. My question is: How to get the absolute abnormal returns for good and bad news from model type 2? …
asked Oct 17 '15 by jeffrey