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Size, time-varying beta, and conditional heteroscedasticity in UK stock returns

  • Reyes, Mario G.
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    File URL: http://www.sciencedirect.com/science/article/B6W61-3XX6KG1-1/2/de31d5255c41ddc2c8dd449398c4ef2a
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    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 8 (1999)
    Issue (Month): 1 (June)
    Pages: 1-10

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    Handle: RePEc:eee:revfin:v:8:y:1999:i:1:p:1-10
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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    1. Kon, Stanley J & Jen, Frank C, 1978. "Estimation of Time-Varying Systematic Risk and Performance for Mutual Fund Portfolios: An Application of Switching Regression," Journal of Finance, American Finance Association, vol. 33(2), pages 457-75, May.
    2. Koutmos, Gregory & Lee, Unro & Theodossiu, Panayiotis, 1994. "Time-varying betas and volatility persistence in International Stock markets," Journal of Economics and Business, Elsevier, vol. 46(2), pages 101-112, May.
    3. Errunza, Vihang, et al, 1994. "Conditional Heteroskedasticity and Global Stock Return Distributions," The Financial Review, Eastern Finance Association, vol. 29(3), pages 293-317, August.
    4. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1993. "Dual Betas from Bull and Bear Markets: Reversal of the Size Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 269-83, Winter.
    5. Corhay, A. & Rad, A. Tourani, 1996. "Conditional heteroskedasticity adjusted market model and an event study," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 529-538.
    6. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    7. Scott, Elton & Brown, Stewart, 1980. " Biased Estimators and Unstable Betas," Journal of Finance, American Finance Association, vol. 35(1), pages 49-55, March.
    8. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    9. Blume, Marshall E, 1975. "Betas and Their Regression Tendencies," Journal of Finance, American Finance Association, vol. 30(3), pages 785-95, June.
    10. Bera, Anil & Bubnys, Edward & Park, Hun, 1988. "Conditional Heteroscedasticity in the Market Model and Efficient Estimates of Betas," The Financial Review, Eastern Finance Association, vol. 23(2), pages 201-14, May.
    11. 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.
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