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The Effect of Nonnormality on the Market Model : Skewness and Kurtosis
https://ncu.repo.nii.ac.jp/records/662
https://ncu.repo.nii.ac.jp/records/6621d6d52f7-5a52-4315-a1f5-111798ec790f
| 名前 / ファイル | ライセンス | アクション |
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B41-20050901-1 (1.5 MB)
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| アイテムタイプ | 紀要論文2 / Departmental Bulletin Paper(1) | |||||||||||||
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| 公開日 | 2013-12-18 | |||||||||||||
| タイトル | ||||||||||||||
| タイトル | The Effect of Nonnormality on the Market Model : Skewness and Kurtosis | |||||||||||||
| 言語 | en | |||||||||||||
| 言語 | ||||||||||||||
| 言語 | eng | |||||||||||||
| 資源タイプ | ||||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||||||
| 資源タイプ | departmental bulletin paper | |||||||||||||
| 著者 |
Ando, Masakazu
× Ando, Masakazu
× 程島, 次郎
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| 抄録(英) | ||||||||||||||
| 内容記述タイプ | Other | |||||||||||||
| 内容記述 | We consider the effect of nonnormality on the least squares inference of the market model or single factor model when the market return or index is unconditionally stochastic. We evaluate the asymptotic variance of the least squares estimator of alpha and beta when the joint distribution of the market return and market model error term is nonnormal. Using univariate and multivariate skewness and kurtosis measures, we show the asymptotic variance for beta depends only on kurtosis measures while the asymptotic variance for alpha depends on kurtosis as well as skewness measures. Numerical examples are provided to evaluate the effect of nonnormality. | |||||||||||||
| 書誌情報 |
オイコノミカ 巻 43, 号 1, p. 1-17, 発行日 2006-09-01 |
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| ISSN | ||||||||||||||
| 収録物識別子タイプ | ISSN | |||||||||||||
| 収録物識別子 | 03891364 | |||||||||||||
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| 収録物識別子タイプ | NCID | |||||||||||||
| 収録物識別子 | AN00025971 | |||||||||||||
