{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,10]],"date-time":"2026-01-10T02:23:33Z","timestamp":1768011813640,"version":"3.49.0"},"reference-count":0,"publisher":"Informa UK Limited","issue":"1","license":[{"start":{"date-parts":[[2000,1,1]],"date-time":"2000-01-01T00:00:00Z","timestamp":946684800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[2000,1,1]]},"abstract":"<jats:p>Bian and Dickey (1996) developed a robust Bayesian estimator for the\nvector of regression coefficients using a Cauchy-type <mml:math xmlns:mml=\"http:\/\/www.w3.org\/1998\/Math\/MathML\" alttext=\"$g$\"><mml:mi>g<\/mml:mi><\/mml:math>-prior. This estimator is an adaptive weighted average of the least squares\nestimator and the prior location, and is of great robustness with\nrespect to at-tailed sample distribution. In this paper, we\nintroduce the robust Bayesian estimator to the estimation of the\nCapital Asset Pricing Model (CAPM) in which the distribution of the\nerror component is well-known to be flat-tailed. To support our\nproposal, we apply both the robust Bayesian estimator and the least\nsquares estimator in the simulation of the CAPM and in the analysis\nof the CAPM for US annual and monthly stock returns. Our simulation\nresults show that the Bayesian estimator is robust and superior to\nthe least squares estimator when the CAPM is contaminated by large\nnormal and\/or non-normal disturbances, especially by Cauchy\ndisturbances. In our empirical study, we find that the robust\nBayesian estimate is uniformly more efficient than the least squares\nestimate in terms of the relative efficiency of one-step ahead\nforecast mean square error, especially for small samples.<\/jats:p>","DOI":"10.1155\/s1173912600000043","type":"journal-article","created":{"date-parts":[[2007,3,8]],"date-time":"2007-03-08T07:44:28Z","timestamp":1173339868000},"page":"65-82","source":"Crossref","is-referenced-by-count":39,"title":["Robust estimation in Capital Asset Pricing Model"],"prefix":"10.1080","volume":"4","author":[{"given":"Wing-Keung","family":"Wong","sequence":"first","affiliation":[{"name":"Department of Economics, National University of Singapore, 10 Kent Ridge Crescent, 119260, Singapore"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Guorui","family":"Bian","sequence":"additional","affiliation":[{"name":"Department of Statistics and Applied Probability, National University of Singapore, 10 Kent Ridge Crescent, 119260, Singapore"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","container-title":["Journal of Applied Mathematics and Decision Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/archive\/2000\/523965.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/archive\/2000\/523965.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T14:23:00Z","timestamp":1723126980000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/ads\/2000\/523965\/abs\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,1,1]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2000,1,1]]}},"alternative-id":["523965"],"URL":"https:\/\/doi.org\/10.1155\/s1173912600000043","relation":{},"ISSN":["1173-9126"],"issn-type":[{"value":"1173-9126","type":"print"}],"subject":[],"published":{"date-parts":[[2000,1,1]]}}}