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| Author: | Draper, P. Paudyal, K. |
| Title: | Empirical irregularities in the estimation of beta: the impact of alternative estimation assumptions and procedures |
| Journal: | Journal of Business Finance and Accounting
1995 : JAN, VOL. 22:1, p. 157-177 |
| Index terms: | BETA FACTOR ESTIMATION ACCOUNTING |
| Language: | eng |
| Abstract: | A number of problems have been enumerated in the literature in using the Market Model, but the general presumption has been that reasonable estimates of beta are obtainable using OLS regressions. This paper suggests that this presumption is not justified. Standard OLS estimates vary significantly from estimates calculated using other methods. Irrespective of the arguments for using alternative estimation methods, this paper also documents a considerable number of factors which appear to influence beta estimates. |
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