Selected Robust Methods for Camp Model Estimation

Trzpiot Grażyna ()
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Trzpiot Grażyna: University of Economics in Katowice, Faculty of Informatics and Communication Department of Demography and Economic Statistics Bogucicka 14, 40-226 Katowice, Poland

Folia Oeconomica Stetinensia, 2012, vol. 12, issue 2, 58-71

Abstract: This paper presents evidence that Ordinary Least Squares estimators of beta coefficients of major firms and portfolios are highly sensitive to observations of extremes in market index returns. This sensitivity is rooted in the inconsistency of the quadratic loss function in financial theory. By introducing considerations of risk aversion into the estimation procedure using alternative estimators measures of variability we can overcome this lack of robustness and improve the reliability of the results.

Keywords: OLS estimators; systematic risk; LTS estimators; quantile regression estimators (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:12:y:2012:i:2:p:58-71:n:8

DOI: 10.2478/v10031-012-0032-7

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