This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than -2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at -2 and +4 times...

This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than –2 and more than +4, the market-model is run on daily stock rates of return that have first been winsorized at –2 and +4...

My paper proposes a robust and easy-to-implement one-pass beta estimator: Justified by the market-model itself, daily stock returns are first winsorized at –2 and +4 times the contemporaneous market return. The resulting “slope- winsorized” betas outpredict all other prominent estimators,...