Παρακαλώ χρησιμοποιήστε αυτό το αναγνωριστικό για να παραπέμψετε ή να δημιουργήσετε σύνδεσμο προς αυτό το τεκμήριο: https://hdl.handle.net/20.500.14279/9608
Τίτλος: Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies
Συγγραφείς: Theodossiou, Alexandra K. 
Theodossiou, Panayiotis 
metadata.dc.contributor.other: Θεοδοσίου, Παναγιώτης
Major Field of Science: Social Sciences
Field Category: Economics and Business
Λέξεις-κλειδιά: Equity cost of capital;OLS estimation;Pharmaceutical industry;Robust M estimation;Stock beta
Ημερομηνία Έκδοσης: 1-Μαΐ-2014
Πηγή: Journal of International Financial Markets, Institutions and Money, 2014, vol. 30, no. 1, pp. 153-171
Volume: 30
Issue: 1
Start page: 153
End page: 171
Περιοδικό: Journal of International Financial Markets, Institutions and Money 
Περίληψη: 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: https://hdl.handle.net/20.500.14279/9608
ISSN: 10424431
DOI: 10.1016/j.intfin.2014.02.002
Rights: © Elsevier
Type: Article
Affiliation: Texas A and M University 
Cyprus University of Technology 
Publication Type: Peer Reviewed
Εμφανίζεται στις συλλογές:Άρθρα/Articles

CORE Recommender
Δείξε την πλήρη περιγραφή του τεκμηρίου

SCOPUSTM   
Citations

2
checked on 9 Νοε 2023

WEB OF SCIENCETM
Citations 50

2
Last Week
0
Last month
0
checked on 29 Οκτ 2023

Page view(s)

411
Last Week
2
Last month
8
checked on 5 Οκτ 2024

Google ScholarTM

Check

Altmetric


Όλα τα τεκμήρια του δικτυακού τόπου προστατεύονται από πνευματικά δικαιώματα