Title: Measuring the impact of extreme observations on CAPM alphas: Some methodological issues
Authors: Sercu, Piet ×
De Moor, Lieven #
Issue Date: Nov-2015
Publisher: Elsevier
Series Title: Finance Research Letters vol:15 issue:1 pages:1-10
Abstract: 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.
ISSN: 1544-6123
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center International Finance, Leuven
Research Centre for Finance, Accountancy & Tax, Campus Brussels (-)
Faculty of Economics and Business (FEB) - miscellaneous
× corresponding author
# (joint) last author

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