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Beta stability and portfolio formation

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  • Brooks, Robert D.
  • Faff, Robert W.
  • Lee, John H. H.

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Bibliographic Info

Article provided by Elsevier in its journal Pacific-Basin Finance Journal.

Volume (Year): 3 (1995)
Issue (Month): 1 (May)
Pages: 145-146

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Handle: RePEc:eee:pacfin:v:3:y:1995:i:1:p:145-146

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Web page: http://www.elsevier.com/locate/pacfin

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Citations

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Cited by:
  1. Don U.A. Galagedera & Roland Shami, 2004. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Finance 0406011, EconWPA.
  2. Tusell Palmer, Fernando Jorge & Esteban González, María Victoria, 2009. "Predicting Betas: Two new methods," BILTOKI 2009-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  3. Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.
  4. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
  5. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.
  6. Abu Taher Mollik & M. Khokan Bepari, 2010. "Instability of stock beta in Dhaka Stock Exchange, Bangladesh," Managerial Finance, Emerald Group Publishing, vol. 36(10), pages 886-902, October.
  7. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May.
  8. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
  9. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer, vol. 19(1), pages 29-46, June.
  10. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
  11. Keith Lam, 1999. "Some evidence on the distribution of beta in Hong Kong," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 251-262.
  12. Faff, Robert W. & Hodgson, Allan & Saudagaran, Shahrokh, 2002. "International cross-listings towards more liquid markets: the impact on domestic firms," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 365-390.
  13. Robert D. Brooks & Lye Chee Shoung, 2006. "The impact of capital controls on Malaysian banking industry betas," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 247-249, July.

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