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Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators

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  • Corrado, Charles J
  • Schatzberg, John D

Abstract

This paper utilizes asymptotic analysis and daily security returns to examine the estimation efficiency of two unbiased robust estimators compared with ordinary least squares. The authors' results demonstrate a relative efficiency gain for a nonparametric rank estimator and a relative efficiency loss for the minimum absolute deviation estimator when estimating the systematic risk of securities using daily security returns. Copyright 1991 by MIT Press.

Suggested Citation

  • Corrado, Charles J & Schatzberg, John D, 1991. "Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators," The Financial Review, Eastern Finance Association, vol. 26(4), pages 587-599, November.
    • Handle: RePEc:bla:finrev:v:26:y:1991:i:4:p:587-99
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    Cited by:

    1. Juan Mascare as & Fangyuan Yan, 2017. "How People Apply Mental Accounting Philosophy to Investment Risk?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(3), pages 145-151.

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