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Author: | Los, C. A. |
Title: | Galton's error and the under-representation of systematic risk |
Journal: | Journal of Banking and Finance
1999 : DEC, VOL. 23:12, p. 1793-1829 |
Index terms: | Risk management Unit trusts Asset valuation Econometric models |
Language: | eng |
Abstract: | The methodology of the complete least squares (CLS) superfilter is used in this paper to focus on the commitment of "Galton's error", in finance, in particular, regarding the bivariate, the Capital Asset Pricing (CAPM) based, and multivariate APT based measurement of systematic risk. The paper shows Galton's error may lead to fundamental mispricing of assets, or portfolios and, ultimately, to market inefficiencies. |
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