Article1978

Mean-Absolute-Deviation Versus Least-Squares Regression Estimation of Beta Coefficients

35 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Advanced Statistical Methods and Models

Abstract

Bradford Cornell, J. Kimball Dietrich, Mean-Absolute-Deviation Versus Least-Squares Regression Estimation of Beta Coefficients, The Journal of Financial and Quantitative Analysis, Vol. 13, No. 1 (Mar., 1978), pp. 123-131

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1965The Behavior of Stock-Market Prices 1997The variation of certain speculative prices 1976The option pricing model and the risk factor of stock 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS 1971ON THE ASSESSMENT OF RISK 1975BETAS AND THEIR REGRESSION TENDENCIES 1971On the Short-Term Stationarity of Beta Coefficients 1975THE ADJUSTMENT OF BETA FORECASTS

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