Beta stability and portfolio formation
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- Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, University Library of Munich, Germany.
- Don U.A. Galagedera & Roland Shami, 2003.
"Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities,"
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20/03, Monash University, Department of Econometrics and Business Statistics.
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- Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009. "Predicting Betas: Two new methods," BILTOKI 2009-01, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
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- Robert D. Brooks & Lye Chee Shoung, 2006. "The impact of capital controls on Malaysian banking industry betas," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 247-249, July.
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- Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.
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- Robert Brooks & Robert Faff & Thomas Josev, 1997. "Beta stability and monthly seasonal effects: evidence from the Australian capital market," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 563-566.
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- Keith Lam, 1999. "Some evidence on the distribution of beta in Hong Kong," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 251-262.
- Groenewold, Nicolaas & Fraser, Patricia, 1999. "Time-varying estimates of CAPM betas," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 531-539.
- McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
- Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 29-46, June.
- N. Groenewold & P. Fraser, 1997. "Time-varying betas & macroeconomic influences," Economics Discussion / Working Papers 97-09, The University of Western Australia, Department of Economics.
- Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
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