Bayesian approach to financial risk An empirical investigation into Indian stock market

By:

SARMA, JONALI

Contributor(s):

SAMAH, PRANITA

Material type:

Mixed materialsPublication details: 2012Description: 499-512Subject(s):

FINANCIAL RISK

NLM classification:

332.6322

In: FINANCE INDIAMSummary: The ordinary least square (OLS) estimate of beta has been widely used as a measure of systematic risk in investment and portfolio analysis. The estimation is based on the assumption that beta is stationary over time. But numerous studies show thatbeta is unstable over time. So the use of OLS method in investment and portfolio analysis will yield an inefficient estimate of systematic risk.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		26/2	Available		P14522

The ordinary least square (OLS) estimate of beta has been widely used as a measure of systematic risk in investment and portfolio analysis. The estimation is based on the assumption that beta is stationary over time. But numerous studies show thatbeta is unstable over time. So the use of OLS method in investment and portfolio analysis will yield an inefficient estimate of systematic risk.

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