Robust beta estimation: Some empirical evidence

Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/45199

DC Field	Value
dc.title	Robust beta estimation: Some empirical evidence
dc.contributor.author	Fong, W.M.
dc.date.accessioned	2013-10-11T08:13:59Z
dc.date.available	2013-10-11T08:13:59Z
dc.date.issued	1997
dc.identifier.citation	Fong, W.M. (1997). Robust beta estimation: Some empirical evidence. Review of Financial Economics 6 (2) : 167-186. ScholarBank@NUS Repository.
dc.identifier.issn	10583300
dc.identifier.uri	http://scholarbank.nus.edu.sg/handle/10635/45199
dc.description.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.
dc.source	Scopus
dc.type	Article
dc.contributor.department	FINANCE & ACCOUNTING
dc.description.sourcetitle	Review of Financial Economics
dc.description.volume	6
dc.description.issue	2
dc.description.page	167-186
dc.identifier.isiut	NOT_IN_WOS
Appears in Collections:	Staff Publications

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