Measuring the impact of extreme observations on CAPM alphas: Some methodological issues

Extreme observations can bias the average return calculation and this bias affects small stocks more. We study several filters that could help to alleviate such a bias. As an illustrative example, we examine the impact of these filters on the size premium around the world. Our findings carry important implications for future empirical research in international stock returns.

Jaar van publicatie:2015

BOF-keylabel:ja

IOF-keylabel:ja

BOF-publication weight:1

CSS-citation score:1

Authors from:Higher Education

Toegankelijkheid:Closed