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|Title:||Robust beta estimation: Some empirical evidence||Authors:||Fong, W.M.||Issue Date:||1997||Citation:||Fong, W.M. (1997). Robust beta estimation: Some empirical evidence. Review of Financial Economics 6 (2) : 167-186. ScholarBank@NUS Repository.||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. © 1997 JAI Press Inc. 1058-3300.||Source Title:||Review of Financial Economics||URI:||http://scholarbank.nus.edu.sg/handle/10635/45199||ISSN:||10583300|
|Appears in Collections:||Staff Publications|
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