Quantile regression for capital asset pricing model

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Zare Mohammadkhani Mohammaad

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Journal Paper

Paper Information

Journal: AUT JOURNAL OF MATHEMATICS AND COMPUTING Year:2026 | Volume:7 | Issue:1 Page(s): 63-68

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Information Journal Paper

Title

Quantile regression for capital asset pricing model

Author(s)

Zare Mohammadkhani Mohammaad | Issue Writer Certificate

Keywords

CAPM

QCAPM

Linear Regression

Quantile Regression

Abstract

In this paper, we examine the Capital Asset Pricing Model (CAPM) and demonstrate that when the log returns of an asset are subject to extreme risks or outliers or nonlinear relationship, the Linear Regression (LR) model may not perform well in predicting future returns. Instead, we propose using Quantile Regression, which is more robust to such data anomalies and provides better predictions.

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