Abstract
OLS Vs. Quatile regression in tailed analysis and its implication for investment decision making by Moinak Maiti The present study compares the Fama-French three factors coefficients estimates obtained from both OLS and quantile regression for 25 size-value sorted portfolios of BSE 500. The study empirical results, residual graphs and other plots confirm the inefficiency of OLS in end distribution estimation. Quintile regression reveals that the slope direction for all coefficients of predictor variables is not same across the quintiles and time. Finally study shows empirically that quantile regression estimates gives more comprehensive and clear picture of the varying effect of the predictors on the response variables to analyst or investors in making investment decision.Keywords: Quantile regression, factor model, tail analysis, investment decision, asset pricing