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Estimating mean-standard deviation ratios of financial data
Jönköping University.
Jönköping University.ORCID-id: 0000-0002-3623-5034
Jönköping University.
2012 (engelsk)Inngår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, nr 3, s. 657-671Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This article treats the problem of linking the relation between excess return and risk of financial assets when the returns follow a factor structure. The authors propose three different estimators and their consistencies are established in cases when the number of assets in the cross-section (n) and the number of observations over time (T) are of comparable size. An empirical investigation is conducted on the Stockholm stock exchange market where the mean-standard deviation ratio is calculated for small- mid- and large cap segments, respectively.

sted, utgiver, år, opplag, sider
Taylor & Francis, 2012. Vol. 39, nr 3, s. 657-671
Emneord [en]
return-risk ratio, increasing dimension asymptotics, coefficient of variation, Arbitrage Pricing Theory model, Statistics, Statistik
HSV kategori
Identifikatorer
URN: urn:nbn:se:lnu:diva-28544DOI: 10.1080/02664763.2011.610443OAI: oai:DiVA.org:lnu-28544DiVA, id: diva2:643717
Tilgjengelig fra: 2013-08-28 Laget: 2013-08-27 Sist oppdatert: 2017-04-18bibliografisk kontrollert

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Holgersson, ThomasKarlsson, Peter S.
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