In estimating a firm's cost of equity with the CAPM the standard procedure is to proxy the market portfolio by a share …

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

. We take measures to overcome known estimation biases and improve the quality of quarterly PIN estimates. We use the …

This study focuses on the impact of model estimation methods on earnings forecast accuracy. Compared with an ordinary … least squares (OLS) regression combined with winsorization, robust regression MM-estimation improves the earnings forecast … robust regression MM-estimation. This study contributes to earnings forecasting, valuation, and influential observation …

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for …