An Evaluation of Alternative Methods for Estimating Systematic Risk

A. D. Castagna, L. H. Greenwood and Z. P. Matolcsy
Additional contact information
A. D. Castagna: Kuring-gai College of Advanced Education.
L. H. Greenwood: Darwin Community College.
Z. P. Matolcsy: New South Wales Institute of Technology.

Australian Journal of Management, 1984, vol. 9, issue 2, 1-13

Abstract: The available evidence on the properties of return distributions does not convincingly support a particular method for estimating the parameters of the market model. The underlying stimulus for this paper is to resolve this issue empirically by evaluating the performance of three alternative estimational methods to OLS for deriving the beta or systematic risk of securities. These are the mean absolute deviation, a non-parametric method, and the generalised least square method. The empirical tests include estimates of beta using the four estimators, an examination of whether the beta estimates belong to the same underlying distribution, and finally, an evaluation of the performance of the estimators for predicting monthly rates of return.

Keywords: MARKET MODEL; SECURITY RETURNS; NORMALITY; ESTIMATORS (search for similar items in EconPapers)
Date: 1984
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289628400900201 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:9:y:1984:i:2:p:1-13

DOI: 10.1177/031289628400900201

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().