Estimating mean-standard deviation ratios of financial data

H.E.T. Holgersson; Peter S. Karlsson; Rashid Mansoor

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Estimating mean-standard deviation ratios of financial data

机译：估计财务数据的平均标准差比率

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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.

机译：本文讨论了当收益遵循要素结构时将超额收益与金融资产风险之间的关系联系起来的问题。作者提出了三种不同的估计量，并且当横截面中的资产数（n）和随时间变化的观察数（T）具有可比较的大小时，可以确定它们的一致性。在斯德哥尔摩证券交易所市场进行了实证研究，分别计算了中小盘股和大盘股的平均标准差比率。

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来源
《Journal of applied statistics》 |2012年第4期|p.657-671|共15页
作者
H.E.T. Holgersson; Peter S. Karlsson; Rashid Mansoor;
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作者单位

Jonkoping International, Business School, Box 1026, 55 111 Sweden;

Jonkoping International, Business School, Box 1026, 55 111 Sweden;

Jonkoping International, Business School, Box 1026, 55 111 Sweden;

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正文语种 eng
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关键词
return-risk ratio; increasing dimension asymptotics; coefficient of variation; arbitrage pricing theory model;

机译：回报率尺寸渐近性增加;变异系数套利定价理论模型;

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Estimating mean-standard deviation ratios of financial data

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