Estimating Mean-Standard Deviation Ratios of Financial Data

Thomas Holgersson, Peter Karlsson () and Rashid Mansoor ()
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Peter Karlsson: Jönköping International Business School
Rashid Mansoor: Jönköping International Business School

No 2011-1, JIBS Working Papers from Jönköping International Business School

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.

Keywords: Return-risk ratio; increasing dimension asymptotics; coefficient of variation; APT model. (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011-02-16
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Journal Article: Estimating mean-standard deviation ratios of financial data (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hhb:hjacfi:2011_001

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