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Systematic Risk In A Purely Random Market Model: Some Empirical Evidence For Individual Public Utilities

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  • Abdul Rahman
  • Lawrence Kryzanowski
  • Ah Boon Sim

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  • Abdul Rahman & Lawrence Kryzanowski & Ah Boon Sim, 1987. "Systematic Risk In A Purely Random Market Model: Some Empirical Evidence For Individual Public Utilities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 143-152, June.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:2:p:143-152
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00486.x
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    References listed on IDEAS

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    1. Kryzanowski, Lawrence & To, Minh Chau, 1984. "The Telescopic Effect of Past Return Realizations on Ex-Post Beta Estimates," The Financial Review, Eastern Finance Association, vol. 19(1), pages 1-25, March.
    2. Kim, Moon K. & Zumwalt, J. Kenton, 1979. "An Analysis of Risk in Bull and Bear Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 1015-1025, December.
    3. Scott, Elton & Brown, Stewart, 1980. "Biased Estimators and Unstable Betas," Journal of Finance, American Finance Association, vol. 35(1), pages 49-55, March.
    4. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-795, June.
    5. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 101-116, March.
    6. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
    7. Sunder, Shyam, 1980. "Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks," Journal of Finance, American Finance Association, vol. 35(4), pages 883-896, September.
    8. Singh, Balvir, et al, 1976. "On the Estimation of Structural Change: A Generalization of the Random Coefficients Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 340-361, June.
    9. 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(1), pages 27-36, March.
    10. 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.
    11. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
    12. Gonedes, Nicholas J., 1973. "Evidence on the Information Content of Accounting Numbers: Accounting-based and Market-based Estimates of Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(3), pages 407-443, June.
    13. Bey, Roger P., 1983. "Market Model Stationarity of Individual Public Utilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 67-85, March.
    14. Brenner, Menachem & Smidt, Seymour, 1977. "A Simple Model of Non-Stationarity of Systematic Risk," Journal of Finance, American Finance Association, vol. 32(4), pages 1081-1092, September.
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    Cited by:

    1. He, Zhongzhi (Lawrence) & Kryzanowski, Lawrence, 2008. "Dynamic betas for Canadian sector portfolios," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1110-1122, December.
    2. Adjaoud, Fodil & Rahman, Abdul, 1996. "A note on the temporal variability of Canadian financial services stock returns," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 165-177, January.

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