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Statistical Biases and Security Rates of Return

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  • Cheng, Pao L.
  • Deets, M. King

Abstract

The advent of the computer has permitted financial theorists to collect and analyze large amounts of financial data. In the field of investments some of the most important work has focused on historical rates of return in investments in common stocks. The classical study in this area is the Fisher-Lorie study [8,9] in which intern al rates of return were calculated for every security listed on the New York Stock Exchange from 1926–1965. Other studies related to the area have been complicated by Herzog [10], Fisher [6,7], Latané and Young [11], Soldofsky and Biderman [12], and Evans [3,4].

Suggested Citation

  • Cheng, Pao L. & Deets, M. King, 1971. "Statistical Biases and Security Rates of Return," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(3), pages 977-994, June.
    • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:03:p:977-994_02
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    Cited by:

    1. Roger P. Bey, 1979. "Mean-Variance, Mean-Semivariance, And Dcf Estimates Of A Public Utility'S Cost Of Equity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 13-26, March.
    2. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.

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