Quantile regression, asset pricing and investment decision
The present study compares the Fama-French three factor coefficient estimates obtained from both ordinary least squares (OLS) and quantile regression for 25 size-value sorted portfolios of BSE 500. The study, using empirical results, residual graphs and other plots, confirms the inefficiency of OLS...
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| Formatua: | Artigo |
| Hizkuntza: | Inglês |
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Elsevier
2021-03-01
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| Saila: | IIMB Management Review |
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| Sarrera elektronikoa: | http://www.sciencedirect.com/science/article/pii/S0970389621000203 |
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