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Asset pricing dynamics

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Author Info
Raphael Markellos
Terence Mills

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Abstract

This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural breaks and microstructures, dynamics in the mean and variance process, and non-stationary regressions and cointegration. An empirical application using UK stock market data demonstrates the merit of the proposed methodology in correcting market model regressions.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 9 (2003)
Issue (Month): 6 (December)
Pages: 533-556
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Handle: RePEc:taf:eurjfi:v:9:y:2003:i:6:p:533-556

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Related research
Keywords: Capital Asset Pricing Model; Time Series; Econometrics; Uk Market Model;

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References listed on IDEAS
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  20. Green, Christopher J & Kiernan, Eric, 1989. "Multicollinearity and Measurement Error in Econometric Financial Modelling," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 57(4), pages 357-69, December.
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