Robust estimation of beta coefficients: Evidence from a small stock market

Journal of Business Finance and Accounting

Volumn 25, Issue 3-4, 1998, Pages 439-454

  Bowie, David C ^a   Bradfield, David J ^b  

^a WM Company   (United States)

^b UNIVERSITY OF CAPE TOWN   (South Africa)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0042522533     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00196     Document Type: Article

References (43)

1. Affleck-Graves, J.F. (1974), 'Portfolio Selection on the Johannesburg Stock Exchange', Unpublished MSc Thesis (University of Cape Town).
2. - and B. McDonald (1989), 'Nonnormalities and Tests of Asset Pricing Theories', Journal of Finance, Vol.44, No.4, pp. 889-908.
3. Barr, G.D.I (1980), 'A Contribution to Adaptive Robust Estimation', Unpublished PhD Thesis, (University of Cape Town).
4. Basset, G.W. and R.W. Koenker (1982), 'An Empirical Quantile Function for Linear Models with i.i.d. Errors', Journal of the American Statistical Association, Vol.77, pp. 407-415
5. Beaton, A.E. and J.W. Tukey (1974), 'The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data', Technometries, Vol.16, pp. 147-185
6. Belsey, D.A., E. Kuh and R.E. Welsch (1981), Regression Diagnostics (John Wiley and Sons).
7. Birch, J.B. and D.B. Agard (1993), 'Robust Inference in Regression: A Comparative Study', Communications in Statistics - Simulation, Vol.22, pp. 217-244
8. Booth, G.G., J. Hatem, I. Virtanen and P. Yli-Olli (1992), 'Stochastic Modelling of Security Returns: Some Evidence from the Helsinki Stock Exchange', European Journal of Operational Research, Vol.56, pp. 19-33.
9. Chan, L.K.C. and J. Lakonishok (1992), 'Robust Measurement of Beta Risk', Journal of Financial and Quantitative Analysis, Vol.27, pp. 265-282
10. Chopra, N., J. Lakonishok and J.R. Ritter (1992), 'Measuring Abnormal Performance. Do Stocks Overreact?', Journal of Financial Economics, Vol.31, pp. 235-268
11. Chow, G.C. (1983), Econometrics (John Wiley and Sons, New York).
12. Cornell, B. and J.K. Dietrich (1978), 'Mean-Absolute-Deviation Versus Least-Squares Regression Estimation of Beta Coefficients', Journal of Financial and Quantitative Analysis, Vol.13, pp. 123-131
13. Dejong, F., A. Kemna and T. Kloek (1992), 'A Contribution to Event Study Methodology with an Application to the Dutch Stock Market', Journal of Banking and Finance, Vol.16, pp. 11-36.
14. De Jongh, P.J., T. De Wet and A.H. Welsh (1988), 'Mallows-Type Bounded Influence Regression Trimmed Means', Journal of the American Statistical Association, Vol.83, pp. 805-810
15. Dimson, E. (1979), 'Risk Measurement When Shares are Subject to Infrequent Trading', Journal of Financial Economics, Vol. 7, pp. 197-206.
16. - and P.R. Marsh (1983), 'The Stability of UK Risk Measures and the Problem of Thin Trading', Journal of Finance, Vol.38, pp. 753-783
17. Draper, P. and K. Paudyal (1995), 'Empirical Irregularities in the Estimation of Beta: The Impact of Alternative Estimation Assumptions and Procedures', Journal of Business Finance & Accounting, Vol.22, No.1 (January), pp. 157-177
18. Easton, G.S. (1991), 'Compromise Maximum Likelihood Estimators of Location', Journal of the American Statistical Association, Vol.86, pp. 1051-1064
19. Efron, B. (1982), The Jackknife, the Bootstrap and Other Resampling Plans (Society for Industrial and Applied Mathematics).
20. Fama, E.F. (1965), 'The Behaviour of Stock-Market Prices', Journal of Business, Vol.38, pp. 34-105.
21. - (1976), Foundations of Finance (Basic Books, New York).
22. Giltinan, D.M., Carroll, R.J. and D. Ruppert (1986), 'Some New Estimation Methods for Weighted Regression When There are Possible Outliers', Technometrics, Vol.28, pp. 219-230
23. Gonin, R. and A.H. Money (1989), .Nonlinear Lp-Norm Estimation (Marcel Dekker, New York and Basel).
24. Hampel, F.R., E.M. Ronchetti, P.J. Rousseeuw and W.A. Stahel (1986), Robust Statistics: The Approach Based on Influence Functions (John Wiley and Sons, New York).
25. Huber, P.J. (1981), Robust Statistics (John Wiley, New York).
26. Kendall, M. and A. Stuart (1977), The Advanced Theory of Statistics, Vol.1, 4th ed. (Charles Griffin, London).
27. Koenker, R.W. (1982), 'Robust Methods in Econometrics', Econometric Reviews, Vol.1, pp. 213-255
28. - and G.W. Basset (1978), 'Regression Quantiles', Econometrica, Vol.46, pp. 33-50.
29. - and S. Portnoy (1987), 'L-Estimation for Linear Models', Journal of the American Statistical Association, Vol.82, pp. 851-857
30. Krasker, W.S. and R.E. Welsch (1982), 'Efficient Bounded Influence Regression Estimation', Journal of the American Statistical Association, Vol.77, pp. 595-604.
31. Mallows, C.L. (1975), 'On Some Topics in Robustness', Unpublished Memorandum (Bell Telephone Laboratories, Murray Hill, New Jersey).
32. - (1973), 'Influence Functions', Unpublished paper presented at a conference on robust regression held at Cambridge, Massachusetts (sponsored by National Bureau for Economic Research).
33. Mandelbrot, B. (1963), 'The Variation of Certain Speculative Prices', Journal of Business, Vol.36, pp. 394-419.
34. Marsh, P.R. (1979), 'Equity Rights and the Efficiency of the UK Stock Market', Journal of Finance, Vol.34, pp. 839-863
35. McDonald, J.B. and R.D. Nelson (1989), 'Alternative Beta Estimation for the Market Model using Partially Adaptive Techniques', Communications in Statistics-Theory and Methodology, Vol. 18, No. 11, pp. 4039-58.
36. - and W.K. Newey (1988), 'Partially Adaptive Estimation of Regression Models Via the Generalized T Distribution', Econometric Theory, Vol.4, pp. 428-457
37. McKean J.W. and T.P. Hettmansperger (1978), 'A Robust Analysis of the General Linear Model Based on one-step R-Estimates', Biometrika, Vol.65, pp. 571-579
38. Olkin, I. and S. Yitzhaki (1992), 'Gini Regression Analysis', international Statistical Review, Vol. 60, No. 2, pp. 185-96.
39. Schlosberg, H.H. (1976), 'Distribution Models for Daily Log-Price Relatives', Unpublished MBA Research Report (University of the Witwatersrand).
40. Scholz, F.W. (1977), 'Weighted Median Regression Estimates', Institute of Mathematical Statistics Bulletin, Vol.6, p. 44.
41. Sharpe, W.F. (1971), 'Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios', Management Science, Vol.18, pp. 1 - 13.
42. Sievers, G.L. (1978), 'Weighted Rank Statistics for Simple Linear Regression', Journal of the American Statistical Association, Vol.73, pp. 628-631
43. Welsh, A.H. (1987), 'The Trimmed Mean in the Linear Model', Annals of Statistics, Vol.15, pp. 20-45.