Quantile regression, asset pricing and investment decision

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2021
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Work Details
  • DOI 10.1016/j.iimb.2021.03.005
  • OpenAlex ID W3137985231
  • Type Article
  • Language EN
  • Published 01 Mar 2021
  • Volume 33 (1)
  • Pages 28–37
  • Source IIMB Management Review
  • Publisher Elsevier BV
  • FWCI 5.07
  • Countries 1
  • Institutions 1
  • Added 10 Oct 2025
  • Updated 16 Oct 2026
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Quantile regression, asset pricing and investment decision

Article 2021 EN Gold

The present study compares the Fama-French three factor coefficient estimates obtained from both ordinary least squares (OLS) and quantile regression for 25 size-value sorted portfolios of BSE 500. The study, using empirical results, residual graphs and other plots, confirms the inefficiency of OLS in end distribution estimation. Quantile regression reveals that the slope direction for all coeffic…

39

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33

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1

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5.07

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1 Moinak Maiti Corresponding National Research University H… (RU)
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