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Estimating mean-standard deviation ratios of financial data

Author

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  • H. E.T. Holgersson
  • Peter S. Karlsson
  • Rashid Mansoor

Abstract

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.

Suggested Citation

  • H. E.T. Holgersson & Peter S. Karlsson & Rashid Mansoor, 2012. "Estimating mean-standard deviation ratios of financial data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(3), pages 657-671, August.
    • Handle: RePEc:taf:japsta:v:39:y:2012:i:3:p:657-671
    DOI: 10.1080/02664763.2011.610443
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    References listed on IDEAS

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    2. Lee Yoong Hon & Ruth Lim Sheau Yen, 2018. "At the Movies: Some Stylized Facts on Investment Returns and Consumption Patterns," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(2), pages 123-142, September.

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