Robust beta estimation: Some empirical evidence

Wai Mun Fong

Review of Financial Economics, 1997, vol. 6, issue 2, 167-186

Abstract: The effect of allowing for skewness and excess kurtosis in estimating market model betas is examined using the Generalized Student‐t (GET) Distribution. The GET Generalized the widely used Student‐t distribution by allowing for skewness as well as leptokurtosis. Using data on monthly returns of twenty‐two stocks listed on the Singapore Stock Exchange, we find that the GET provides a significantly better fit to the data than the normal distribution or the symmetric Student‐t distribution. Based on a small out‐of‐sample experiment, the GET was also found to outperform OLS and Student‐t betas in forecasting ability.

Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1016/S1058-3300(97)90004-5

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:wly:revfec:v:6:y:1997:i:2:p:167-186

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().