This paper utilizes asymptotic analysis and daily security returns to examine the estimation efficiency of two unbiased robust estimators compared with ordinary least squares. The authors' results demonstrate a relative efficiency gain for a nonparametric rank estimator and a relative efficiency loss for the minimum absolute deviation estimator when estimating the systematic risk of securities using daily security returns. Copyright 1991 by MIT Press.
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Article provided by Eastern Finance Association in its journal The Financial Review.
Volume (Year): 26 (1991) Issue (Month): 4 (November) Pages: 587-99 Download reference. The following formats are available: HTML
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