University of Illinois Urbana-Champaign

Alternative errors-in-variables beta estimates and their implications to capital asset pricing determination / BEBR No.873

Lee, Cheng F.; Cheung, C. Sherman

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https://hdl.handle.net/2142/26570

Description

Title
Alternative errors-in-variables beta estimates and their implications to capital asset pricing determination / BEBR No.873
Author(s)
  • Lee, Cheng F.
  • Cheung, C. Sherman
Contributor(s)
  • University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
  • University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research
Issue Date
1982-05
Keyword(s)
Economics.
Abstract
A triangle relationship among alternative errors-in-variables (EV) methods for estimating daily beta coefficients are investigated in detail. It is shown that the well-known method proposed by Scholes and Williams is not a consistent estimator. Daily data of Dow-Jones thirty is used to demonstrate how these three EV methods can be used to estimate the daily beta coefficients.
Publisher
[Urbana, Ill.] : College of Commerce and Business Administration, Bureau of Economic and Business Research, University of Illinois at Urbana-Champaign,
Series/Report Name or Number
BEBR faculty working paper ; no. 873
Type of Resource
text
Language
eng
Permalink
http://hdl.handle.net/2142/26570
Has Version(s)
  • http://hdl.handle.net/10111/UIUCOCA:alternativeerror873leec
  • http://www.archive.org/details/alternativeerror873leec
Copyright and License Information
Copyright May 1982 Board of Trustees University of Illinois.

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Research publications from the University of Illinois at Urbana-Champaign PRIMARY
Research Publications from UIUC