Title

Quantile regression: its application in investment analysis

Document Type

Journal Article

Publisher

Financial Management Association

Faculty

Business and Law

School

Accounting, Finance and Economics

RAS ID

8902

Comments

This article was originally published as: Allen, D. E., Gerrans, P. A., Singh, A. , & Powell, R. (2009). Quantile regression: its application in investment analysis. Jassa The FINSIA Journal of Applied Finance, (4), 7-12.

Abstract

Quantile regression is a very powerful tool for financial research and risk modelling, and we believe that it has futher applications that can provide significant insights in empirical work in finance. This paper demonstrates its use on a sample of Australian stocks and shows that, while ordinary least squares regression is not effective in capturing the extreme values or the adverse losses evident in return distributions, these are captured by quantile regressions.

This document is currently not available here.

 
COinS