An investigation into the extent of beta instability in the Singapore stock market
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- Brooks, R.D. & Faff, R.W. & Lee, J.H.H., 1994.
"Beta Stability and Portfolio Formation,"
94-3, Melbourne - Centre in Finance.
- Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1994. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 2(4), pages 463-479, December.
- Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May.
- Brooks, Robert D & Faff, Robert W, 1995.
"Financial Market Deregulation and Bank Risk: Testing for Beta Instability,"
Australian Economic Papers,
Wiley Blackwell, vol. 34(65), pages 180-99, December.
- Brooks, R. & Faff, R., 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Papers 95-3, Melbourne - Centre in Finance.
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
- 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(01), pages 27-36, March.
- Collins, Daniel W & Ledolter, Johannes & Rayburn, Judy Dawson, 1987. "Some Further Evidence on the Stochastic Properties of Systematic Risk," The Journal of Business, University of Chicago Press, vol. 60(3), pages 425-48, July.
- R. D. Brooks & R. W. Faff & M. A. M. Gangemi & J. H. H. Lee, 1997. "A further examination of the effect of diversification on the stability of portfolio betas," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 9-14.
- Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
- 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 941-47, September.
- Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
- Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
- Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
- Simonds, Richard R. & LaMotte, Lynn Roy & McWhorter, Archer, 1986. "Testing for Nonstationarity of Market Risk: An Exact Test and Power Considerations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 209-220, June.
- James Ohlson and Barr Rosenberg., 1978.
"Systematic Risk of the CRSP Equal- Weighted Common Stock Index: A History Estimated by Stochastic- Parameter Regression,"
Research Program in Finance Working Papers
71, University of California at Berkeley.
- Ohlson, James & Rosenberg, Barr, 1982. "Systematic Risk of the CRSP Equal-weighted Common Stock Index: A History Estimated by Stochastic-Parameter Regression," The Journal of Business, University of Chicago Press, vol. 55(1), pages 121-45, January.
- Sunder, Shyam, 1980. " Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks," Journal of Finance, American Finance Association, vol. 35(4), pages 883-96, September.
- Fowler, David J. & Rorke, C. Harvey, 1983. "Risk measurement when shares are subject to infrequent trading : Comment," Journal of Financial Economics, Elsevier, vol. 12(2), pages 279-283, August.
- 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.
- Faff, R. & Brooks, R., 1996. "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers 96-10, Melbourne - Centre in Finance.
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