An investigation into the extent of beta instability in the Singapore stock market
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- 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.
- 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.
- 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 941-947, September.
- 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.
- 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 425-448, July.
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- 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.
- 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.
- 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.
- Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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