haku: @author Ulschmid, C. / yhteensä: 1
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| Tekijä: | Hamerle, A. Ulschmid, C. |
| Otsikko: | Empirische Performance der zweistufigen CAPM-Tests |
| Lehti: | Zeitschrift für Betriebswirtschaft
1996 : VOL. 66:3, p. 305-326 |
| Asiasana: | CAPITAL ASSET PRICING REGRESSION ANALYSIS SIMULATION MODELS |
| Kieli: | ger |
| Tiivistelmä: | The tradional two-pass approach to investigate the Capital- Asset-Pricing-Model (CAPM) is studied in some detail. In the first step, beta estimates are obtained from separate time- series regressions for each asset. In the second step, in a cross-sectional regression the linear relationship between mean returns and risk is checked , where the estimated betas are used as regressors. In many empirical apllications simple statistical models are assumed in both steps, and OLS estimates of the regression parameters are calculated. However, the error terms are cross-sectionally correlated and heteroscedastic. Therefore, GLS estimation is recommended, but because of the many unknown variances and covariances which have to be estimated it turns out that GLS estimation is worse than OLS estimation when a correct estimate of the covariance matrix is used. |
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