Estimating Beta When the CAPM Is True

Perhaps the most frequently used estimator of the Capital Asset Pricing Model beta in finance is the Ordinary Least Squares estimate, obtained by regressing excess security return against excess market return, with an intercept. This paper shows that the Ordinary Least Squares estimator is inappropriate because it ignores the structure imposed by the Capital Asset Pricing Model on the parameters of the multivariate density of security returns

Year of publication:	2017
Authors:	Ferguson, Robert
Other Persons:	Simaan, Yusif (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	CAPM \| Betafaktor \| Beta risk \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation

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