James B. McDonald

Learn More
Robust estimation techniques based on symmetric probability distributions are often substituted for OLS to obtain efficient regression parameters with thick-tail distributed data. The empirical, simulation and theoretical results in this paper show that with skewed distributed data, symmetric robust estimation techniques produce biased regression(More)
The distribution of stock returns and capital asset pricing model (CAPM) regression residuals are typically characterized by skewness and kurtosis. We apply four flexible probability density functions (pdf's) to model possible skewness and kurtosis in estimating the parameters of the CAPM and compare the corresponding estimates with OLS and other symmetric(More)
comments on earlier versions of this paper. We would also like to thank the Whitcomb Center for Research in Financial Services for providing research support through the use of the WRDS system. Abstract k Robust estimation techniques, such as least absolute deviations, M and L and quasi-maximum likelihood techniques based on symmetric probability density(More)