385
Views
14
CrossRef citations to date
0
Altmetric
Original Articles

Is Beta dead? The role of alternative estimation methods

Pages 559-562 | Published online: 05 Oct 2010

References

  • Burmeister , E. and McElroy , M. B. 1988 . Joint estimation of factor sensitivities and risk premia for the Arbitrage Pricing Theory . Journal of Finance , 43 : 721 – 735 .
  • Chen , N.-F. , Roll , R. and Ross , S. A. 1986 . Economic forces and thestock market . Journal of Business , 59 : 383 – 403 .
  • Clare , A. D. and Thomas , S. H. 1992 . International evidence for the predictability of bond and stock returns . Economic Lelters , 40 : 105 – 112 .
  • Clare , A. D. and Thomas , S. H. 1994 . Macroeconomic factors, the APT and the UK stock market . Journal of Business Finance and Accounting , 21 : 309 – 330 .
  • Connor , G. and Korajczyk , R. A. 1993 . A test for the number offactors in an approximate factor model . Journal of Finance , 48 : 1263 – 1291 .
  • Davis , J. L. 1994 . The cross-section of realised stock returns: the pre-COMPUSTAT evidence . Journal of Finance , 49 : 1579-39
  • Fama , E. F. and French , K. R. 1992 . The cross-section of expectedreturns . Journal of Finance , 47 : 427 – 465 .
  • Fama , E. F. and MacBeth , J. D. 1973 . Risk, return and equilibrium:empirical tests . Journal of Political Economy , 71 : 607 – 636 .
  • Kothari , S. P. , Shanken , J. and Sloan , R. G. 1995 . Another look at thecross-section of expected stock returns . Journal of Finance , 50 : 185 – 224 .
  • He , J. and Ng , L. K. 1994 . Economic forces, fundamental variables and equity returns . Journal of Business , 67 : 599 – 639 .
  • McElroy , M. B. , Burmeister , E. and Wall , K. D. 1985 . Two estimators for the APT model when factors are measured . Economic Letters , 19 : 271 – 275 .
  • Shanken , J. 1992 . On the estimation of beta-pricing models . Review of Finacial Studies , 5 : 1 – 33 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.