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An investigation into the extent of beta instability in the Singapore stock market

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  • Brooks, Robert D.
  • Faff, Robert W.
  • Ariff, Mohamed

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Bibliographic Info

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

Volume (Year): 6 (1998)
Issue (Month): 1-2 (May)
Pages: 87-101

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Handle: RePEc:eee:pacfin:v:6:y:1998:i:1-2:p:87-101

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

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May.
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  3. Bos, T & Newbold, P, 1984. "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," The Journal of Business, University of Chicago Press, vol. 57(1), pages 35-41, January.
  4. Brooks, R. & Faff, R., 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Papers 95-3, Melbourne - Centre in Finance.
  5. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
  6. Sunder, Shyam, 1980. " Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks," Journal of Finance, American Finance Association, vol. 35(4), pages 883-96, September.
  7. R. D. Brooks & R. W. Faff & M. A. M. Gangemi & J. H. H. Lee, 1997. "A further examination of the effect of diversification on the stability of portfolio betas," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 9-14.
  8. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
  9. Ohlson, James & Rosenberg, Barr, 1982. "Systematic Risk of the CRSP Equal-weighted Common Stock Index: A History Estimated by Stochastic-Parameter Regression," The Journal of Business, University of Chicago Press, vol. 55(1), pages 121-45, January.
  10. Collins, Daniel W & Ledolter, Johannes & Rayburn, Judy Dawson, 1987. "Some Further Evidence on the Stochastic Properties of Systematic Risk," The Journal of Business, University of Chicago Press, vol. 60(3), pages 425-48, July.
  11. Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
  12. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
  13. Alexander, Gordon J. & Benson, P. George, 1982. "More on Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 27-36, March.
  14. Chen, Son-Nan & Keown, Arthur J, 1981. "Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note," Journal of Finance, American Finance Association, vol. 36(4), pages 941-47, September.
  15. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
  16. Simonds, Richard R. & LaMotte, Lynn Roy & McWhorter, Archer, 1986. "Testing for Nonstationarity of Market Risk: An Exact Test and Power Considerations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 209-220, June.
  17. Faff, R. & Brooks, R., 1996. "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers 96-10, Melbourne - Centre in Finance.
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Cited by:
  1. Ibrahim Onour, . "Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis," API-Working Paper Series 1002, Arab Planning Institute - Kuwait, Information Center.
  2. Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
  3. 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.
  4. Onour, Ibrahim, 2008. "Forward-Looking Beta Estimates:Evidence from an Emerging Market," MPRA Paper 14992, University Library of Munich, Germany.

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