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Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note

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  • Chen, Son-Nan
  • Keown, Arthur J

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  • 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 941-947, September.
  • Handle: RePEc:bla:jfinan:v:36:y:1981:i:4:p:941-47
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    Cited by:

    1. 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.
    2. Chien-Yun Chang & Jian-Hsin Chou & Hung-Gay Fung, 2012. "Time dependent behavior of the Asian and the US REITs around the subprime crisis," Journal of Property Investment & Finance, Emerald Group Publishing, vol. 30(3), pages 282-303, April.
    3. 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.
    4. Krouse, Clement G. & Park, Jongsur, 2003. "Local exchange competition and the Telecommunications Act of 1996," Information Economics and Policy, Elsevier, vol. 15(2), pages 223-241, June.
    5. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
    6. Brockett, Patrick L. & Chen, Hwei-Mei & Garven, James R., 1999. "A new stochastically flexible event methodology with application to Proposition 103," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 197-217, November.
    7. Lin, Carl, 2012. "Less Myth, More Measurement: Decomposing Excess Returns from the 1989 Minimum Wage Hike," IZA Discussion Papers 6269, Institute for the Study of Labor (IZA).
    8. Georgina Benou & Nivine Richie, 2003. "The reversal of large stock price declines: The case of large firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 19-38, March.
    9. Mahmoud Haddad & Ghassem Homaifar & Said Elfakhani & Hikmat Ahmedov, 2008. "Intertemporal Test of Beta Stationarity Performance of Islamic Sector Structured Mutual Funds," Working Papers 427, Economic Research Forum, revised 09 Jan 2008.

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