Time-Varying Betas and Cross-Sectional Return-Risk Relation: Evidence from the UK
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References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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- 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.
- Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
- Roland Shami & Don U.A. Galagedera, 2004. "Beta Risk and Regime Shift in Market Volatility," Finance 0406012, EconWPA.
- Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
More about this item
KeywordsECONOMETRICS ; FINANCIAL MARKET;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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