Statistical Inference for the Beta Coefficient

被引：5

作者：

Bodnar, Taras ^{[1
]}

Gupta, Arjun K. ^{[2
]}

Vitlinskyi, Valdemar ^{[3
]}

Zabolotskyy, Taras ^{[4
]}

机构：

[1] Stockholm Univ, Dept Math, Roslagsvagen 101, SE-10691 Stockholm, Sweden

[2] Bowling Green State Univ, Dept Math & Stat, Bowling Green, OH 43403 USA

[3] Kyiv Natl Econ Univ, Dept Econ & Math Modelling, Peremoga Ave 54-1, UA-03680 Kiev, Ukraine

[4] Ivan Franko Lviv Natl Univ, Dept Programming, Univ Ska Str 1, UA-79000 Lvov, Ukraine

来源：

RISKS | 2019年 / 7卷 / 02期

关键词：

beta coefficient; sampling distribution; test theory; Wishart distribution; PORTFOLIO SELECTION; EQUILIBRIUM; ESTIMATORS; MODEL;

D O I：

10.3390/risks7020056

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark portfolio consist of the same assets whose returns are multivariate normally distributed, we provide the finite sample and the asymptotic distributions of the sample estimator for the beta coefficient. These findings are used to derive a statistical test for the beta coefficient and to construct a confidence interval for the beta coefficient. Moreover, we show that the sample estimator is an unbiased estimator for the beta coefficient. The theoretical results are implemented in an empirical study.

引用

页数：14

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