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Statistical Analysis of Risk Surrogates for Nyse Stocks

Published online by Cambridge University Press:  06 April 2009

Jack Clark Francis
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Extract

Since the beta systematic risk coefficient and the standard deviation are both important statistics in the received capital market theory [22] and the received option theory [1], considerabe effort has been expended on obtaining empirical estimates of these statistics [30]. The ordinary least squares (OLS) technique is typically utilized to estimate beta as the regression coefficient of a simple linear regression. However, the OLS betas for common stocks were found to be disconcertingly unstable over time [5, 6, 13, 15, 25]. But, whether the OLS beta or an adjusted beta were used, the regression statistics could still only explain less than half of the variability of most New York Stock Exchange (NYSE) stocks' returns (more specifically, R2 < .5).

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 5 , December 1979 , pp. 981 - 997
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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