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|Title:||Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies||Authors:||Theodossiou, Alexandra K.
|Keywords:||Equity cost of capital;OLS estimation;Pharmaceutical industry;Robust M estimation;Stock beta||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||1-May-2014||Publisher:||Elsevier BV||Source:||Journal of International Financial Markets, Institutions and Money, 2014, Volume 30, Issue 1, Pages 153-171||metadata.dc.doi:||http://dx.doi.org/10.1016/j.intfin.2014.02.002||Abstract:||Efficient estimation of the equity cost of operating public corporations is essential for a rational investment policy. Traditional OLS beta estimates of a single stock are known to suffer from violations of normality due to outliers - extreme returns caused by large, unpredictable company-specific events. We confirm the presence of an outliers-driven, often significant bias in OLS beta estimates by undertaking parallel estimates with a related method based on a mixed-return model that follows Huber's Robust M (HRM) estimator. We demonstrate that the OLS bias can be substantial even in a sample spanning 18 years of monthly observations.||URI:||http://ktisis.cut.ac.cy/handle/10488/9608||ISSN:||10424431||Rights:||© 2014 Elsevier B.V.||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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