1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9608
DC FieldValueLanguage
dc.contributor.authorTheodossiou, Alexandra K.-
dc.contributor.authorTheodossiou, Panayiotis-
dc.contributor.otherΘεοδοσίου, Παναγιώτης-
dc.date.accessioned2017-02-13T10:40:43Z-
dc.date.available2017-02-13T10:40:43Z-
dc.date.issued2014-05-01-
dc.identifier.citationJournal of International Financial Markets, Institutions and Money, 2014, vol. 30, no. 1, pp. 153-171en_US
dc.identifier.issn10424431-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/9608-
dc.description.abstractEfficient 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofJournal of International Financial Markets, Institutions and Moneyen_US
dc.rights© Elsevieren_US
dc.subjectEquity cost of capitalen_US
dc.subjectOLS estimationen_US
dc.subjectPharmaceutical industryen_US
dc.subjectRobust M estimationen_US
dc.subjectStock betaen_US
dc.titleStock return outliers and beta estimation: The case of U.S. pharmaceutical companiesen_US
dc.typeArticleen_US
dc.collaborationTexas A and M Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryUnited Statesen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.intfin.2014.02.002en_US
dc.relation.issue1en_US
dc.relation.volume30en_US
cut.common.academicyear2019-2020en_US
dc.identifier.spage153en_US
dc.identifier.epage171en_US
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn1042-4431-
crisitem.journal.publisherElsevier-
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-
Appears in Collections:Άρθρα/Articles
CORE Recommender
Show simple item record

SCOPUSTM   
Citations

2
checked on Nov 9, 2023

WEB OF SCIENCETM
Citations 50

2
Last Week
0
Last month
0
checked on Oct 29, 2023

Page view(s) 50

427
Last Week
0
Last month
4
checked on Dec 22, 2024

Google ScholarTM

Check

Altmetric


Items in KTISIS are protected by copyright, with all rights reserved, unless otherwise indicated.