Quantile regression

its application in investment analysis

David E. Allen, Paul Gerrans, Abhay Kumar Singh, Robert Powell

Research output: Contribution to journalArticle

Abstract

Quantile regression is a very powerful tool for financial research and risk
modelling, and we believe that it has further 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.
Original languageEnglish
Pages (from-to)7-12
Number of pages6
JournalJASSA : the FINSIA journal of applied finance
Issue number4
Publication statusPublished - 2009
Externally publishedYes

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Keywords

  • capital markets
  • regression analysis
  • stock market

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