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dc.contributor.authorMcDonald, James B.-
dc.contributor.authorMichelfelder, Richard-
dc.contributor.authorTheodossiou, Panayiotis-
dc.date.accessioned2013-01-28T08:27:05Zen
dc.date.accessioned2013-05-17T08:42:32Z-
dc.date.accessioned2015-12-08T08:56:40Z-
dc.date.available2013-01-28T08:27:05Zen
dc.date.available2013-05-17T08:42:32Z-
dc.date.available2015-12-08T08:56:40Z-
dc.date.issued2010-07-14-
dc.identifier.citationQuantitative finance, 2010, vol. 10, no. 4, pp. 375-387en_US
dc.identifier.issn14697696-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/3404-
dc.description.abstractThe distributions of stock returns and capital asset pricing model (CAPM) regression residuals are typically characterized by skewness and kurtosis. We apply four flexible probability density functions (pdfs) to model possible skewness and kurtosis in estimating the parameters of the CAPM and compare the corresponding estimates with ordinary least squares (OLS) and other symmetric distribution estimates. Estimation using the flexible pdfs provides more efficient results than OLS when the errors are non-normal and similar results when the errors are normal. Large estimation differences correspond to clear departures from normality. Our results show that OLS is not the best estimator of betas using this type of data. Our results suggest that the use of OLS CAPM betas may lead to erroneous estimates of the cost of capital for public utility stocksen_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofQuantitative Financeen_US
dc.rights© Taylor & Francisen_US
dc.subjectBetaen_US
dc.subjectFlexible distributionsen_US
dc.subjectKurtosisen_US
dc.subjectRobust estimationen_US
dc.subjectSkewnessen_US
dc.titleRobust estimation with flexible parametric distributions: estimation of utility stock betasen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationRutgers Universityen_US
dc.collaborationBrigham Young Universityen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.reviewpeer reviewed-
dc.countryCyprusen_US
dc.countryUnited Statesen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1080/14697680902814241en_US
dc.dept.handle123456789/92en
dc.relation.issue4en_US
dc.relation.volume10en_US
cut.common.academicyear2010-2011en_US
dc.identifier.spage375en_US
dc.identifier.epage387en_US
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.parentorgFaculty of Management and Economics-
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