caa a22 4500 477076580 CHVBK 20180405111440.0 cr unu---uuuuu 170330e19960401xx s 000 0 eng 10.1007/BF00046992 doi (NATIONALLICENCE)springer-10.1007/BF00046992 Minimax estimation with random coefficients: Theory and application to stock returns [Elektronische Daten] [Bernhard Schipp, Markus Brechtmann] Testing the reliability of the capital asset pricing model (CAPM) for various stock market returns is an important task in capital market research. In all previous studies, a common feature consists in the application of ordinary least squares or Bayesian methods when it comes to estimation of parameters. The Bayesian approach seems to be fairly intractable by practitioners whereas the OLS approach often yields imprecise and thus doubtful results. In this paper, the CAPM is estimated by approximate minimax techniques extended to a random coefficient regression model (RCR). The method turns out to be efficient from both the economical and computational point of view. Kluwer Academic Publishers, 1996 improved estimation nationallicence RCR-model nationallicence capital asset pricing nationallicence empirical analysis nationallicence Schipp Bernhard Faculty of Economics, Dresden University of Technology, Mommsenstr. 13, D-01062, Dresden, Germany aut Brechtmann Markus Faculty of Economics, Dresden University of Technology, Mommsenstr. 13, D-01062, Dresden, Germany aut Acta Applicandae Mathematica Kluwer Academic Publishers 43/1(1996-04-01), 113-126 0167-8019 43:1<113 1996 43 10440 https://doi.org/10.1007/BF00046992 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF00046992 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Schipp Bernhard Faculty of Economics, Dresden University of Technology, Mommsenstr. 13, D-01062, Dresden, Germany aut NATIONALLICENCE 700 1- Brechtmann Markus Faculty of Economics, Dresden University of Technology, Mommsenstr. 13, D-01062, Dresden, Germany aut NATIONALLICENCE 773 0- Acta Applicandae Mathematica Kluwer Academic Publishers 43/1(1996-04-01), 113-126 0167-8019 43:1<113 1996 43 10440 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer