01933cam a22002537 4500001000600000003000500006005001700011008004100028100002600069245013200095260006600227490005100293500001600344520086500360530006101225538007201286538003601358690006701394700001701461710004201478830008601520856003701606856003601643t0270NBER20171118001144.0171118s2001 mau||||fs|||| 000 0 eng d1 aGoetzmann, William N.14aThe Bias of the RSR Estimator and the Accuracy of Some Alternativesh[electronic resource] /cWilliam N. Goetzmann, Liang Peng. aCambridge, Mass.bNational Bureau of Economic Researchc2001.1 aNBER technical working paper seriesvno. t0270 aApril 2001.3 aThis paper analyzes the implications of cross-sectional heteroskedasticity in repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross sectional variance of asset returns affects the magnitude of bias in the average return estimate for that period, while reducing the bias for the surrounding periods. It is not easy to use an approximation method to correct the bias problem. We suggest a maximum-likelihood alternative to the RSR that directly estimates index returns that are analogous to the RSR estimators but are arithmetic averages of individual returns. Simulations show that these estimators are robust to time-varying cross-sectional variance and may be more accurate than RSR and some alternative methods of RSR. aHardcopy version available to institutional subscribers. aSystem requirements: Adobe [Acrobat] Reader required for PDF files. aMode of access: World Wide Web. 7aR2 - Household Analysis2Journal of Economic Literature class.1 aPeng, Liang.2 aNational Bureau of Economic Research. 0aTechnical Working Paper Series (National Bureau of Economic Research)vno. t0270.4 uhttp://www.nber.org/papers/t027041uhttp://dx.doi.org/10.3386/t0270