The Estimation of Systematic Risk under Differentiated Risk Aversion: A Mean-Extended Gini Approach View Full Text


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Article Info

DATE

1999-03

AUTHORS

Russell B. Gregory-Allen, Haim Shalit

ABSTRACT

This paper examines a mean-Gini model of systematic risk estimation that resolves some econometric problems with mean-variance beta estimation and allows for heterogeneous risk aversion across investors. Using the mean-extended Gini (MEG) model, we estimate systematic risks for different degrees of risk aversion. MEG betas are shown to be instrumental variable estimators that provide econometric solutions to biases generated by the estimation of mean-variance (MV) betas. When security returns are not normally distributed, MEG betas are proved to differ from MV betas. We design an econometric test that assesses whether these differences are significant. As an application using daily returns, we estimate MEG and MV betas for U.S. securities. More... »

PAGES

135-158

References to SciGraph publications

  • 1993-06. The extent of nonstationarity of beta in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1023/a:1008348104882

    DOI

    http://dx.doi.org/10.1023/a:1008348104882

    DIMENSIONS

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