Estimating Beta When the CAPM is Yes


Authors: Robert Ferguson, Ph.D. & Yusif Simaan, Ph.D.

The best method for estimating beta is always a good topic for an argument.  And here to raise his dukes once again is Boardmember Robert Ferguson, who loves to stir the pot, along with his co-author.  This time the authors propose a new estimator- a combination of the "Ordinary Least Squares" or OLS estimator and the "Capital Asset Pricing Model" CAPM, called the "Maximum Likelihood" or ML estimator.  Let the shouting begin....