Joint conditionality in testing the beta-return relationship: Evidence based on the UK stock market
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cotter, John & Sullivan, Niall O' & Rossi, Francesco, 2015.
"The conditional pricing of systematic and idiosyncratic risk in the UK equity market,"
International Review of Financial Analysis,
Elsevier, vol. 37(C), pages 184-193.
- John Cotter & Niall O'Sullivan & Francesco Rossi, 2014. "The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market," Working Papers 201403, Geary Institute, University College Dublin.
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KeywordsConditional beta Market risk premium ARCH models UK stock market;
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