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Additional Evidence of Heteroscedasticity in the Market Model


  • Bey, Roger P.
  • Pinches, George E.


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  • Bey, Roger P. & Pinches, George E., 1980. "Additional Evidence of Heteroscedasticity in the Market Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 299-322, June.
  • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:02:p:299-322_00

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    Cited by:

    1. Roger P. Bey, 1983. "The Market Model As An Appropriate Description Of The Stochastic Process Generating Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 275-288, December.
    2. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September.
    3. 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.

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