Estimating mean-standard deviation ratios of financial data |
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Authors: | H ET Holgersson Peter S Karlsson Rashid Mansoor |
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Institution: | J?nk?ping International, Business School , Box 1026, 55 111 , Sweden |
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Abstract: | This article treats the problem of linking the relation between excess return and risk of financial assets when the returns follow a factor structure. The authors propose three different estimators and their consistencies are established in cases when the number of assets in the cross-section (n) and the number of observations over time (T) are of comparable size. An empirical investigation is conducted on the Stockholm stock exchange market where the mean-standard deviation ratio is calculated for small- mid- and large cap segments, respectively. |
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Keywords: | return-risk ratio increasing dimension asymptotics coefficient of variation Arbitrage Pricing Theory model |
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