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A Capital Asset Pricing Model’s (CAPM’s) Beta Estimation in the Presence of Normality and Non-normality Assumptions

This study describes the approach for estimating the beta-risk of the Capital Asset Price Model (CAPM) when the normality (Gaussian) assumption of both the error term and the excess return on an asset holds, and also when their normality assumption is violated or failed due to outliers or excessive skewness and excessive kurtosis. The student-t distribution was used as an alternative distribution to capture these anomalies. The monthly All-share Index (ASI) of 12 crucial Market Portfolios / Sectors derived from Nigeria Stock Exchange (NSE) were subjected to both the Gaussian error innovation a…

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	International Journal of Finance and Banking Research
Date	2017-01-01
Type	article
Details	openalex authorships.countries:NG,primary topic.subfield.id:3320\|3321\|3308\|1202\|3303\|3312\|2002\|2000\|2003 + local /\bnige
Found at	https://doi.org/10.11648/j.ijfbr.20170303.12
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W2626985677`

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A Capital Asset Pricing Model’s (CAPM’s) Beta Estimation in the Presence of Normality and Non-normality Assumptions. OpenAlex research, 2017. Vero Archive, record openalex:W2626985677.