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- Fri Mar 30, 2012 8:51 pm
- Forum: Econometric Discussions
- Topic: CAPM divide annualised data by 365 or 252?
- Replies: 0
- Views: 1740
CAPM divide annualised data by 365 or 252?
We have daily data from 17 Oct. 2001 to 31 Jan. 2012 and four basic raw variables and there's data only on working days, so 252 observations per year. Rf is the annual rate of 90-days government bond. (One year consists of 365 days.). With regards to regression excess returns... To be consistent sho...