Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators

Charles Corrado and John D Schatzberg

The Financial Review, 1991, vol. 26, issue 4, 587-99

Abstract: This paper utilizes asymptotic analysis and daily security returns to examine the estimation efficiency of two unbiased robust estimators compared with ordinary least squares. The authors' results demonstrate a relative efficiency gain for a nonparametric rank estimator and a relative efficiency loss for the minimum absolute deviation estimator when estimating the systematic risk of securities using daily security returns. Copyright 1991 by MIT Press.

Date: 1991
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