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st: CAPM Betas - White or Newey-West corrected standard error?


From   "Alexander v. Angerer" <avangerer@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: CAPM Betas - White or Newey-West corrected standard error?
Date   Mon, 9 May 2011 13:21:22 +0200 (CEST)

Hello,

when calculating betas from time series of assets' returns vs. market returns, should standard errors be corrected when testing the significance of the CAPM beta? If yes, what kind of correction would be appropriate, White or Newey-West? If Newey-West is used, is there some kind of rule of thumb how many legs should be included?

Thanks a lot and best regards,

Alex
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