Texas Tech University

For each point on the yield curve, run 5 regressions: most recent 72 months, 60 months, 48 months, 36 months and 24 months. The purpose of this is to test the stability of Beta over time (you have just estimated the firm’s Beta). For each point on the yield curve, pick the beta for the model with the highest adjusted R-squared (explanatory ... ................
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