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Heteroscedasticity in the Market Model: A Comment

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  • Brown, Stephen J

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  • Brown, Stephen J, 1977. "Heteroscedasticity in the Market Model: A Comment," The Journal of Business, University of Chicago Press, vol. 50(1), pages 80-83, January.
    • Handle: RePEc:ucp:jnlbus:v:50:y:1977:i:1:p:80-83
    DOI: 10.1086/295910
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    Cited by:

    1. Bill McDonald & Michael H. Morris, 1983. "The Existence Of Heteroscedasticity And Its Effect On Estimates Of The Market Model Parameters," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 115-126, June.
    2. Moy, Ronald L. & Lee, Ahyee & Chen, Thomas P., 1997. "Multivariate tests of the capm under heteroskedasticity: A note," International Review of Economics & Finance, Elsevier, vol. 6(4), pages 431-439.
    3. Son-Nan Chen, 1979. "Re-Examining The Market Model Given Evidence Of Heteroskedasticity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(2), pages 111-118, September.

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