Estimating beta

Review of Quantitative Finance and Accounting

Volumn 18, Issue 2, 2002, Pages 95-118

  Shalit, Haim ^a   Yitzhaki, Shlomo ^b,c  

^a BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

^b HEBREW UNIVERSITY OF JERUSALEM   (Israel)

^c International Relations and Statistical Coordination Department   (Israel)

Author keywords

Mean Gini; OLS estimators; Systematic risk

Indexed keywords

EID: 14844288612     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1023/A:1014594617251     Document Type: Article

References (49)

1. Amihud, Y., B. J. Christensen and H. Mendelson. Further Evidence on the Risk-Return Relationship. Working paper, New York University, 1992.
2. Brown, S. J. and J. B. Warner, "Using Daily Stock Returns." Journal of Financial Economics 14, 3-31, (1985).
3. Carroll, C., P. D. Thistle and K. C. John Wei, "The Robustness of Risk-Return Nonlinearities to the Normality Assumption." Journal of Financial and Quantitative Analysis 27(3), 419-435, (1992).
4. Chan, L. K. C. and J. Lakonishok, "Robust Measurement of Beta Risk." Journal of Financial and Quantitative Analysis 27, 265-282, (1992).
5. Durbin, J., "Errors in Variables." International Statistical Review 22, 23-32, (1954).
6. Fama, E., "The Behavior of Stock Prices." Journal of Business 38, 34-105, (1965).
7. Fama, E. F. and K. R. French, "The Cross-Section of Expected Stock Returns." Journal of Finance 47, 427-465, (1992).
8. Fama, E. F. and K. R. French, "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics 33, 3-56, (1993).
9. Fama, E. F. and K. R. French, "Size and Book-to-Market Factors in Earnings and Returns." Journal of Finance 50, 131-155, (1995).
10. Fama, E. F. and K. R. French, "Industry Costs of Equity." Journal of Financial Economics 44, 153-193, (1997).
11. Fama, E. F. and J. D. MacBeth, "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy 81, 607-636, (1973).
12. Fisher, L. and J. H. Lorie, "Some Studies of Variability of Returns on Investments in Common Stocks." Journal of Business 43, 99-134, (1970).
13. Gibbons, M. R., "Multivariate Tests of Financial Models: A New Approach." Journal of Financial Economics 10, 3-27, (1982).
14. Gregory-Allen, R. B. and H. Shalit, "The Estimation of Systematic Risk under Differentiated Risk Aversion: A Mean-Extended Gini Approach." Review of Quantitative Finance and Accounting 12, 135-157, (1999).
15. Hadar, J. and W. R. Russell, "Rules for Ordering Uncertain Prospects." American Economic Review 59, 25-34, (1969).
16. Hanoch, G. and H. Levy, "The Efficiency Analysis of Choices Involving Risk." Review of Economic Studies 36, 335-346, (1969).
17. Jagannathan, R. and Z. Wang, "The Conditional CAPM and the Cross-Section of Expected Returns." Journal of Finance 51, 3-53, (1996).
18. Kandel, S. and R. F. Stambaugh, "Portfolio Inefficiency and the Cross-Section of Expected Returns." Journal of Finance 50, 157-184, (1995).
19. Knez, P. J. and M. J. Ready, "On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions." Journal of Finance 52, 1355-1382, (1997).
20. Levhari, D. and H. Levy, "The Capital Asset Pricing Model and the Investment Horizon." The Review of Economics and Statistics 59, 92-104, (1977).
21. Levy, H., "Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio." American Economic Review 68, 643-658, (1978).
22. Levy, H., "Stochastic Dominance and Expected Utility: Survey and Analysis." Management Science 38, 555-593, (1992).
23. Levy, H., "Risk and Return: An Experimental Analysis." International Economic Review 38(1), 119-149, (1997).
24. Levy, H. and G. Schwarz, "Correlation and the Time Interval over which Variables are Measured." Journal of Econometrics 16, 341-350, (1997).
25. Lintner, J., "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets." Review of Economics and Statistics 47, 13-37, (1965).
26. MacKinlay, A. C. and M. P. Richardson, "Using Generalized Methods of Moments to Test Mean-Variance Efficiency." Journal of Finance 46, 511-527, (1991).
27. Mandelbrot, B., "The Variation of Certain Speculative Prices." Journal of Business 36, 394-419, (1963).
28. Mantegna, R. N. and H. E. Stanley, "Scaling Behaviour in the Dynamics of an Economic Index." Nature 376, 46-49, (1995).
29. Merton, R. C., "An Analytic Derivation of the Efficient Portfolio Frontier." Journal of Financial and Quantitative Analysis 7, 1851-1872, (1972).
30. Merton, R. C., "On the Microeconomic Theory of Investment under Uncertainty," in K. J. Arrow and M. D. Intrilligator (Eds.), Handbook of Mathematical Economics Vol. II, Amsterdam: North-Holland, 1982.
31. Merton, R. C., Continuous Finance, Cambridge, UK: Blackwell, 1990.
32. Mossin, J., "Equilibrium in a Capital Market." Econometrica 34, 768-783, (1966).
33. Olkin, I. and S. Yitzhaki, "Gini Regression Analysis." International Statistical Review 60, 185-196, (1992).
34. Roll, R., "A Critique of the Asset Pricing Theory's Test: Part I, On Past and Potential Testability of the Theory." Journal of Financial Economics 4, 129-176, (1977).
35. Rothschild, M. and J. E. Stiglitz, "Increasing Risk I: A Definition." Journal of Economic Theory 3, 66-84, (1970).
36. Schechtman, E. and S. Yitzhaki, Asymmetric Gini Regression. Working paper, Hebrew University of Jerusalem, Department of Economics, 1998.
37. Shalit, H. and S. Yitzhaki, "Mean-Gini, Portfolio Theory and the Pricing of Risky Assets." Journal of Finance 39(5), 1449-1468, (1984).
38. Shalit, H. and S. Yitzhaki, "Evaluating the Mean-Gini Approach to Portfolio Selection." International Journal of Finance 1(2), 15-31, (1989).
39. Shalit, H. and S. Yitzhaki, "Marginal Conditional Stochastic Dominance." Management Science 40, 670-674, (1994).
40. Shanken, J., "On the Estimation of Beta-Pricing Models." Review of Financial Studies 5, 1-33, (1992).
41. Sharpe, W. F., "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance 19, 425-442, (1964).
42. Sharpe, W. R, Investments, second edition. Englewood Cliffs, NJ: Prentice Hall, 1981.
43. Sharpe, W. R "Capital Asset Prices with and without Negative Holdings." Journal of Finance 46, 489-509, (1991).
44. Stambaugh, R. F., "On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis." Journal of Financial Economics 10, 237-268, (1982).
45. Yaari, M. E., "The Dual Theory of Choice Under Risk." Econometrica 55, 95-115, (1987).
46. Yitzhaki, S., "Stochastic Dominance, Mean-Variance, and Gini's Mean Difference." American Economic Review 72(1), 178-185, (1982).
47. Yitzhaki, S., "On an Extension of the Gini Inequality Index." International Economic Review 24, 617-628, (1983).
48. Yitzhaki, S., "Calculating Jackknife Variance Estimators for Parameters of the Gini Method." Journal of Business and Economic Statistics 9, 235-239, (1991).
49. Yitzhaki, S., "On Using Linear Regression in Welfare Economics." Journal of Business and Economic Statistics 14, 478-486, (1996).