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ESTIMATING THE MARKET MODEL ROBUSTLY
Author(s) -
Tomczyk Stephen,
Chatterjee Sangit
Publication year - 1984
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1984.tb00771.x
Subject(s) - econometrics , normality , ordinary least squares , least squares function approximation , sample (material) , generalized least squares , economics , mathematics , statistics , computer science , chemistry , chromatography , estimator
There is now considerable evidence in the literature that the ordinary least squares assumptions fail to hold when estimating the market model parameters. This paper describes a robust estimation procedure which provides automatic protection against departures from normality. The market model parameters are then estimated for a sample of securities using both the least squares method and the robust procedure. Analysis shows that the results under the two procedures may differ considerably.