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Beta Estimation with Stock Return Outliers : The Case of U.S. Pharmaceutical Companies

Theodossiou, Alexandra K. - 2009

relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required …

Persistent link: https://www.econbiz.de/10013159450

Functional Data Analysis : Estimating Beta in the Capital Asset Pricing Model for High-frequency U.S. Stock Data

Pedersen, Jens - 2022

This paper proposes estimating β in the capital asset pricing model (CAPM) using a functional data analysis approach …. After explicitly deriving parameter estimates and a prediction function for a functional CAPM, this paper compares the … predictive power of the functional CAPM against two distinct linear CAPMs. The analysis of the model’s predictive power is based …

Persistent link: https://www.econbiz.de/10014255244

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

Persistent link: https://www.econbiz.de/10014254878

Asset pricing anomalies : the case of dividends in the US for Sharia-compliant firms

Halim, Asyraf bin Abdul; Edil bin Abd Sukor, Mohd - In: Borsa Istanbul Review 25 (2025) 2, pp. 253-264

-dividend portfolios using various asset pricing models, including the capital asset pricing model (CAPM), the Fama & French 3-Factor Model … significant alphas, a small number do, particularly for larger firms. The CAPM is sufficient for explaining average excess returns …

Persistent link: https://www.econbiz.de/10015334625

Size effect, book-to-market effect, and survival

Wang, Xiaozu - In: Journal of multinational financial management 10 (2000) 3/4, pp. 257-273

Persistent link: https://www.econbiz.de/10001532664

Habit formation and the cross section of stock returns

Menzly, Lior (contributor); Santos, Tano (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001636417

Stock return outliers and beta estimation : the case of U.S. pharmaceutical companies

Theodossiou, Alexandra K.; Theodossiou, Panayiotis - In: Journal of international financial markets, … 30 (2014), pp. 153-171

Persistent link: https://www.econbiz.de/10011293772

The neglect effect in security beta estimates - an observation of the US stock market from 1933 until 2016

Scheler, Fabian; Ecker, Frank; Werner, Jan - 2017

Persistent link: https://www.econbiz.de/10011921132

Long-horizon asset and portfolio returns revisited : evidence from US markets

Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

Persistent link: https://www.econbiz.de/10014503297

Testing for predictability in a noninvertible ARMA model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10009621936