ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL
Copyright policy )ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for estimating the parameters of the Capital Asset Pricing Model (CAPM) by comparing its performance with least squares estimators (LSE) on the monthly returns of US portfolios. The empirical results reveal that the MML estimators are more efficient than LSE in terms of the relative efficiency of one-step-ahead forecast mean square error in small samples.
- Kyoto University Japan
- Erasmus University Rotterdam Netherlands
- Asian University Taiwan
- Complutense University of Madrid Spain
- Econometric Institute
Robustness, capital asset pricing model, maximum likelihood estimators, modified maximum likelihood estimators, student t family, 330, C1, JEL Classification: C2, JEL Classification: G1 [Maximum likelihood estimators, modified maximum likelihood estimators, student t family, capital asset pricing model, robustness, JEL Classification], Maximum likelihood estimators, Capital asset pricing model, Maximum-Likelihood-Methode, Maximum likelihood estimators, Modified maximum likelihood estimators, Student t family, Capital asset pricing model, Robustness., Student t family, Maximum likelihood estimators; Modified maximum likelihood estimators; Student t family; Capital asset pricing model; Robustness, C1, CAPM, Robustness., G1, 5302 Econometría, Econometría (Economía), EUR ESE 31, Robustness, C2, Modified maximum likelihood estimators, ddc:330, Maximum likelihood estimators; Modified maximum likelihood estimators; Student t family; Capital asset pricing model; Robustness., Robustes Verfahren, Student family, Econometría, G1, capital asset pricing model, maximum likelihood estimators, modified maximum likelihood estimators, robustness, student t family, Theorie, jel: jel:G1, jel: jel:C1, jel: jel:C2
Robustness, capital asset pricing model, maximum likelihood estimators, modified maximum likelihood estimators, student t family, 330, C1, JEL Classification: C2, JEL Classification: G1 [Maximum likelihood estimators, modified maximum likelihood estimators, student t family, capital asset pricing model, robustness, JEL Classification], Maximum likelihood estimators, Capital asset pricing model, Maximum-Likelihood-Methode, Maximum likelihood estimators, Modified maximum likelihood estimators, Student t family, Capital asset pricing model, Robustness., Student t family, Maximum likelihood estimators; Modified maximum likelihood estimators; Student t family; Capital asset pricing model; Robustness, C1, CAPM, Robustness., G1, 5302 Econometría, Econometría (Economía), EUR ESE 31, Robustness, C2, Modified maximum likelihood estimators, ddc:330, Maximum likelihood estimators; Modified maximum likelihood estimators; Student t family; Capital asset pricing model; Robustness., Robustes Verfahren, Student family, Econometría, G1, capital asset pricing model, maximum likelihood estimators, modified maximum likelihood estimators, robustness, student t family, Theorie, jel: jel:G1, jel: jel:C1, jel: jel:C2
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