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Alternative errors-in-variables beta estimates and their implications to capital asset pricing determination

by: Lee, Cheng F; Cheung, C. S. (C. Sherman); University of Illinois at Urbana-Champaign. College of Commerce and Business Administration; University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research

Publication date: 1982

Topics: Economics

Publisher: [Urbana, Ill.] : College of Commerce and Business Administration, Bureau of Economic and Business Research, University of Illinois at Urbana-Champaign

Collection: university_of_illinois_urbana-champaign; americana

Contributor: University of Illinois Urbana-Champaign

Language: English

Volume: BEBR No.873

Includes bibliographical references (p. 24-25)

A triangle relationship among alternative errors-in-variables (EV) methods for estimating daily beta coefficients are investigated in detail. It is shown that the well-known method proposed by Scholes and Williams is not a consistent estimator. Daily data of Dow-Jones thirty is used to demonstrate how these three EV methods can be used to estimate the daily beta coefficients

Addeddate: 2011-03-14 15:35:48

Associated-names: Cheung, C. S. (C. Sherman); University of Illinois at Urbana-Champaign. College of Commerce and Business Administration; University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research