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Size and Book-to-Market Factors in a Multivariate GARCH-in-Mean Asset Pricing Application

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Peter G. Dunne

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Abstract

The analysis of Fama and French (1993), is broadened to include time varying risk. This is achieved by an MGARCH-m application which extends the approach taken by Bollerslev, Engle and Wooldridge(1988) to a multiple index context. Appropriate weightings of the conditional cross-moments of returns on portfolios that make-up factor proxies are modelled as MGARCH. The mean equation of the model is designed to determine whether proxied sources of time-varying non-diversifiable risk can explain movements in excess returns on various types of portfolios. Time-variation in conditional excess return appears only to have a significant relation with time-varying conditional variance associated with a book-to-market factor.

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Paper provided by Financial Services Research Forum in its series Financial Market Papers with number 2.

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Handle: RePEc:fsr:fsrewp:2

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Web page: http://www.business.ulster.ac.uk/retailfinancial/
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  1. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80. [Downloadable!]
  2. Andrew C. Worthington & Helen Higgs, 2003. "A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market," School of Economics and Finance Discussion Papers and Working Papers Series 140, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  3. Andrew Worthington & Helen Higgs, 2001. "A multivariate GARCH analysis of equity returns and volatility in Asian equity markets," School of Economics and Finance Discussion Papers and Working Papers Series 089, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  4. Andrew C. Worthington & Adam Kay-Spratley & Helen Higgs, 2002. "Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis," School of Economics and Finance Discussion Papers and Working Papers Series 114, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
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