Estimating mean-standard deviation ratios of financial data
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.
Volume (Year): 39 (2012)
Issue (Month): 3 (August)
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