Shalit, Haim; Yitzhaki, Shlomo - In: Review of Quantitative Finance and Accounting 18 (2002) 2, pp. 95-118
This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By...