Alternative errors-in-variables beta estimates and their implications to capital asset pricing determination
By: Cheng F. Lee, C. Sherman Cheung
Contributors: Cheung, C. S. (C. Sherman); University of Illinois at Urbana-Champaign. College of Commerce and Business Administration; University of Illinois at Urbana-Champaign. Bureau of Economic and Business Research
Series: BEBR faculty working paper -- no. 873; BEBR faculty working paper -- no. 873.
Publisher: College of Commerce and Business Administration, Bureau of Economic and Business Research, University of Illinois at Urbana-Champaign
Published: 1982
Place of publication: [Urbana, Ill.]
Language: eng
Number of pages: 26
Description: 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.
Notes: Includes bibliographical references (p. 24-25).