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Measuring the impact of extreme observations on CAPM alphas: Some methodological issues

par de Moor, Lieven;Sercu, Piet
Référence Finance research letters., 15, page (1-10)
Publication Publié, 2015-11

Article révisé par les pairs

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Résumé :

Extreme observations can bias the average return calculation and this bias affects small stocks more. We study several filters that could help to alleviate such a bias. As an illustrative example, we examine the impact of these filters on the size premium around the world. Our findings carry important implications for future empirical research in international stock returns.