Evaluating The Short-Term Excess-Return: A New Methodology

Sharon Garyn TAL

Article Details

Evaluating The Short-Term Excess-Return: A New Methodology

Authors:

Sharon Garyn TAL

Publisher:

PressAcademia

Journal:

Journal of Business Economics and Finance 2013 Vol.2 Issue 4, pp.101-127

Document Type:

Article

Publication Date:

11/2013

Document Language:

Turkish

Document ID (Org No.):

2000738149

Frequency:

Quarterly

eISSN:

2146-7943

Abstract:

 

In this paper, a new methodology for evaluating short-term excess return is suggested. The intuition behind this methodology is derived from the forward rate calculation and it does not require that the betas remain constant over time. The new methodology is compared with other short-term estimators and substantial score and ranking differences are found. In addition, the short-term estimators are analyzed based onaspects of expected value and variance and the conclusion is that the new methodology is the better one. Simulation tests support this result. Finally, the new methodology also yields performance scores and rankings that are the most consistent with their long-term counterparts.

Article Details

Evaluating The Short-Term Excess-Return: A New Methodology

Authors: Sharon Garyn TAL

Publisher: PressAcademia

Journal: Journal of Business Economics and Finance 2013 Vol.2 Issue 4, pp.101-127

Document Type: Article

Publication Date: 11/2013

Document Language: Turkish

Document ID (Org No.): 2000738149

Frequency: Quarterly

eISSN: 2146-7943

Issues

Authors:

Sharon Garyn TAL

Publisher:

PressAcademia

Journal:

Journal of Business Economics and Finance 2013 Vol.2 Issue 4, pp.101-127

Document Type:

Article

Publication Date:

11/2013

Document Language:

Turkish

Document ID (Org No.):

2000738149

Frequency:

Quarterly

eISSN:

2146-7943