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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), pp. 559-562. (doi:10.1080/135048597355023).

Record type: Article

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

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Published date: 1997
Organisations: Management

Identifiers

Local EPrints ID: 37377
URI: http://eprints.soton.ac.uk/id/eprint/37377
PURE UUID: d58250db-0813-4899-a384-ad8d96152b06

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Date deposited: 09 Feb 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: A. Clare
Author: R. Priestley
Author: S. Thomas

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