Measuring the impact of extreme observations on CAPM alphas: Some methodological issues

Lieven De Moor and Piet Sercu

Finance Research Letters, 2015, vol. 15, issue C, 1-10

Abstract: Extreme observations can bias the average return calculation and this bias affects small stocks more. We study several filters that could help to alleviate such a bias. As an illustrative example, we examine the impact of these filters on the size premium around the world. Our findings carry important implications for future empirical research in international stock returns.

Keywords: Small firm; Errors in data; Least trimmed squares; Jensen’s inequality (search for similar items in EconPapers)
JEL-codes: C18 C58 C81 G11 G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:15:y:2015:i:c:p:1-10

DOI: 10.1016/j.frl.2014.05.002

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