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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
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.
Issue Date:May 1982
Publisher:[Urbana, Ill.] : College of Commerce and Business Administration, Bureau of Economic and Business Research, University of Illinois at Urbana-Champaign,
Series/Report:BEBR faculty working paper ; no. 873
Description:Includes bibliographical references (p. 24-25).
Rights Information:Copyright May 1982 Board of Trustees University of Illinois.
Date Available in IDEALS:2011-09-15
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Identifier in Online Catalog:6449281
OCLC Identifier:(OCoLC)ocn700932384

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