Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators.

This paper utilizes asymptotic analysis and daily security returns to examine the estimation efficiency of two unbiased robust estimators compared with ordinary least squares. The authors' results demonstrate a relative efficiency gain for a nonparametric rank estimator and a relative efficiency loss for the minimum absolute deviation estimator when estimating the systematic risk of securities using daily security returns. Copyright 1991 by MIT Press.

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Year of publication:	1991
Authors:	Corrado, Charles J ; Schatzberg, John D
Published in:	The Financial Review. - Eastern Finance Association - EFA. - Vol. 26.1991, 4, p. 587-99
Publisher:	Eastern Finance Association - EFA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005667643