R.W. Faff (Department of Economics and Finance, Royal Melbourne Institute of Technology,Victoria, Australia.) R.D. Brooks (Department of Economics and Finance, Royal Melbourne Institute of Technology,Victoria, Australia.)
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The central focus of this paper is to provide an initial exploratory examination of ex post time-varying beta estimation, modeling and asset pricing tests. In particular, these issues are investigated using a sample of monthly data on Australian industry portfolios over the nineteen-year period 1974 to 1992. While primarily illustrative in nature, the industry betas are modeled, estimated and tested with reasonable success in terms of regimes related to periods of regulation/deregulation/imputation; the level of market returns; and a measure of volatility on the risk-free rate of interest. However, univariate and multivariate tests reported in the paper provided mixed evidence concerning the applicability of a time-varying beta CAPM, that incorporates these variables. Copyright Blackwell Publishers Ltd 1998.
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Volume (Year): 25 (1998-06) Issue (Month): 5&6 () Pages: 721-745 Download reference. The following formats are available: HTML
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