Scandinavian Working Papers in Business Administration
JIBS Working Papers,
Jönköping International Business School
No 2011-1: Estimating Mean-Standard Deviation Ratios of Financial Data
Thomas Holgersson (), Peter Karlsson () and Rashid Mansoor ()
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Thomas Holgersson: Jönköping International Business School
Peter Karlsson: Jönköping International Business School
Rashid Mansoor: Jönköping International Business School
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.
Keywords: Return-risk ratio; increasing dimension asymptotics; coefficient of variation; APT model.
18 pages, February 16, 2011
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