Estimating mean-standard deviation ratios of financial data

Thomas Holgersson, Peter S. Karlsson and Rashid Mansoor

Journal of Applied Statistics, 2012, vol. 39, issue 3, 657-671

Abstract: This article treats the problem of linking the relation between excess return and risk of financial assets when the returns follow a factor structure. The authors propose three different estimators and their consistencies are established in cases when the number of assets in the cross-section ( n ) and the number of observations over time ( T ) are of comparable size. An empirical investigation is conducted on the Stockholm stock exchange market where the mean-standard deviation ratio is calculated for small- mid- and large cap segments, respectively.

Date: 2012
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Working Paper: Estimating Mean-Standard Deviation Ratios of Financial Data (2011)
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DOI: 10.1080/02664763.2011.610443

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