Quantile regression: its application in investment analysis

Authors

David Allen, Edith Cowan UniversityFollow
Paul Gerrans, Edith Cowan University
Abhay Singh, Edith Cowan UniversityFollow
Robert Powell, Edith Cowan UniversityFollow

Document Type

Journal Article

Publisher

Financial Management Association

Faculty

Faculty of Business and Law

School

School of Accounting, Finance and Economics

RAS ID

8902

Comments

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. Available here.

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.

Access Rights

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