Is Beta dead? The role of alternative estimation methods


Clare, A., Priestley, R. and Thomas, S. (1997) Is Beta dead? The role of alternative estimation methods. Applied Economics Letters, 4, (9), 559-562. (doi:10.1080/135048597355023).

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Original Publication URL: http://dx.doi.org/10.1080/135048597355023

Description/Abstract

In this paper we test the robustness of the CAPM to two alternative estimation procedures: the Fama and MacBeth (1973) two-step methodology; and the one-step methodology due to Burmeister and McElroy (1988). For the UK stock market we find that we can clearly reject the CAPM when the two-step procedure is used, but find overwhelming support for the CAPM when we use the one-step estimator. Since, in their influential paper, Fama and French (1992) reject the CAPM for the US stock market using a variant of the two-step estimator, we believe that our results for the UK may have important implications for the 'Is Beta dead?' debate

Item Type: Article
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Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 37377
Date Deposited: 09 Feb 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/37377

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