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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
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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
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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
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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
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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
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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
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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
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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
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U.S. Stock Returns, the Berry-Esseen Theorem, and Statistical Testing
Crack, Timothy Falcon - 2020
Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for Student-t tests of the mean in U.S. stock returns. Prior empirical work and bounds from a modified Berry-Esseen theorem do suggest, however, that the answer should vary with...
Persistent link: https://www.econbiz.de/10012829441
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COVID-19 and the Discounting of Real Economic Activity in the US and European Stock Markets
Junttila, Juha-Pekka - 2020
We analyse how the future real economic activity is discounted to the current value of stocks in the US and European markets, and find that the extraordinary threat on future real GDP growth caused by the COVID-19 pandemic was obviously one of the main factors that affected the deep dive in the...
Persistent link: https://www.econbiz.de/10012836097