Time-varying betas and the cross-sectional return-risk relation: evidence from the UK
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Clare, A. D. & Priestley, R. & Thomas, S. H., 1998.
"Reports of beta's death are premature: Evidence from the UK,"
Journal of Banking & Finance,
Elsevier, vol. 22(9), pages 1207-1229, September.
- Andrew Clare, Richard Priestley & Steven Thomas, "undated". "Reports of beta's death are premature: evidence from the UK," CERF Discussion Paper Series 96-05, Economics and Finance Section, School of Social Sciences, Brunel University.
- Nicolaas Groenewold, 1997. "Share Prices and Macroeconomic Factors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9&10), pages 1367-1383.
- Andrew Clare & Raymond O'Brien & Stephen Thomas & Michael Wickens, "undated". "Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market," Discussion Papers 94/10, Department of Economics, University of York.
- Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199.
- Engel, Charles & Rodrigues, Anthony P, 1989.
"Tests of International CAPM with Time-Varying Covariances,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 4(2), pages 119-138, April-Jun.
- Charles Engel & Anthony P. Rodrigues, 1987. "Tests of International CAPM with Time-Varying Covariances," NBER Working Papers 2303, National Bureau of Economic Research, Inc.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
- Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 101-116, March.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Syed ali, Raza & Syed tehseen, jawaid & Imtiaz, arif & Fahim, qazi, 2011. "Validity of capital asset pricing model: evidence from Karachi stock exchange," MPRA Paper 32737, University Library of Munich, Germany.
- Joliet, Robert & Hubner, Georges, 2008.
"Corporate international diversification and the cost of equity: European evidence,"
Journal of International Money and Finance,
Elsevier, vol. 27(1), pages 102-123, February.
- R. Joliet & G. Hübner, 2008. "Corporate international diversification and the cost of equity: European evidence," Post-Print hal-00787167, HAL.
- Dr. Ibrahim Onour, "undated".
"The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries,"
API-Working Paper Series
1009, Arab Planning Institute - Kuwait, Information Center.
- Onour, Ibrahim, 2010. "The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries," MPRA Paper 23332, University Library of Munich, Germany.
- Durand, Robert B. & Lan, Yihui & Ng, Andrew, 2011. "Conditional beta: Evidence from Asian emerging markets," Global Finance Journal, Elsevier, vol. 22(2), pages 130-153.
More about this item
KeywordsCAPM; QTARCH; return-risk relation; UK market;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:10:y:2004:i:4:p:255-276. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/REJF20 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.