Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of International Financial Markets, … 30 (2014) C, pp. 153-171
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...