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Estimating mean-standard deviation ratios of financial data
Jönköping University.
Jönköping University.ORCID iD: 0000-0002-3623-5034
Jönköping University.
2012 (English)In: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, no 3, 657-671 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Taylor & Francis, 2012. Vol. 39, no 3, 657-671 p.
Keyword [en]
return-risk ratio, increasing dimension asymptotics, coefficient of variation, Arbitrage Pricing Theory model, Statistics, Statistik
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:lnu:diva-28544DOI: 10.1080/02664763.2011.610443OAI: oai:DiVA.org:lnu-28544DiVA: diva2:643717
Available from: 2013-08-28 Created: 2013-08-27 Last updated: 2017-04-18Bibliographically approved

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Holgersson, ThomasKarlsson, Peter S.

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