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Some Further Evidence on the Stochastic Properties of Systematic Risk

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Cited by:

  1. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
  2. de Jong, F.C.J.M. & Kemna, A. & Kloek, T., 1992. "A contribution to event study methodology with an application to the Dutch stock market," Other publications TiSEM 7805a40a-1e85-4621-ac05-0, Tilburg University, School of Economics and Management.
  3. Brooks, Robert D. & Faff, Robert W. & Yew, Kee Ho, 1997. "A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 197-219, February.
  4. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
  5. Brailsford, Timothy J. & Josev, Thomas, 1997. "The impact of the return interval on the estimation of systematic risk," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 357-376, July.
  6. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
  7. Gwangheon Hong & Sudipto Sarkar, 2007. "Equity Systematic Risk (Beta) and Its Determinants," Contemporary Accounting Research, John Wiley & Sons, vol. 24(2), pages 423-466, June.
  8. Francisco José López-Arceiz & Ana José Bellostas-Pérezgrueso & José Mariano Moneva, 2018. "Evaluation of the Cultural Environment’s Impact on the Performance of the Socially Responsible Investment Funds," Journal of Business Ethics, Springer, vol. 150(1), pages 259-278, June.
  9. Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
  10. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  11. Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2015. "Factor Models as "Explanatory UniÖers" versus "Explanatory Ideals" of Empirical Regularities of Stock Returns," MPRA Paper 122254, University Library of Munich, Germany.
  12. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
  13. 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.
  14. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Pigorsch, Uta, 2008. "Measuring and modeling risk using high-frequency data," SFB 649 Discussion Papers 2008-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
  16. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
  17. Lord Mensah, 2013. "The Behavior of Beta in the 19th Century," Accounting and Finance Research, Sciedu Press, vol. 2(4), pages 1-34, November.
  18. N. Groenewold & P. Fraser, 1999. "Forecasting Beta: How well does the 'five year rule of thumb' do?," Economics Discussion / Working Papers 99-01, The University of Western Australia, Department of Economics.
  19. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
  20. Markus Ebner & Thorsten Neumann, 2008. "Time-varying factor models for equity portfolio construction," The European Journal of Finance, Taylor & Francis Journals, vol. 14(5), pages 381-395.
  21. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 29-46, June.
  22. Brooks, Robert D. & Faff, Robert W. & Ariff, Mohamed, 1998. "An investigation into the extent of beta instability in the Singapore stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 87-101, May.
  23. Stefano D'Addona & Mattia Ciprian, 2007. "Time Varying Sensitivities On A Grid Architecture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 307-329.
  24. Winston T. Lin, 1999. "Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 173-221, September.
  25. George A. Christodoulakis, 2008. "Asymmetric rotation of risk factors in a global portfolio," Journal of Risk Finance, Emerald Group Publishing, vol. 9(4), pages 391-403, August.
  26. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
  27. Robert D. Brooks & Robert W. Faff & Michael D. McKenzie, 1998. "Time†Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques," Australian Journal of Management, Australian School of Business, vol. 23(1), pages 1-22, June.
  28. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
  29. Manuel Monge & Luis A. Gil-Alana, 2020. "The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies," Risks, MDPI, vol. 8(4), pages 1-17, December.
  30. Robert Brooks & Robert Faff & Thomas Josev, 1997. "Beta stability and monthly seasonal effects: evidence from the Australian capital market," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 563-566.
  31. Antypas, Antonios & Caporale, Guglielmo Maria & Kourogenis, Nikolaos & Pittis, Nikitas, 2020. "Estimation of conditional asset pricing models with integrated variables in the beta specification," Research in International Business and Finance, Elsevier, vol. 52(C).
  32. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
  33. Horváth, Lajos & Li, Bo & Li, Hemei & Liu, Zhenya, 2020. "Time-varying beta in functional factor models: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  34. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.
  35. Wang, Lu, 2021. "Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 272-280.
  36. Syed Abuzar Moonis & Ajay Shah, 2003. "Testing for Time-variation in Beta in India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 2(2), pages 163-180, May.
  37. Robert W. Kolb & Ricardo J. Rodriguez, 1990. "Is The Distribution Of Betas Stationary?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 279-283, December.
  38. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
  39. Keith Lam, 1999. "Some evidence on the distribution of beta in Hong Kong," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 251-262.
  40. Rayner, G. D. & MacGillivray, H. L., 2002. "Weighted quantile-based estimation for a class of transformation distributions," Computational Statistics & Data Analysis, Elsevier, vol. 39(4), pages 401-433, June.
  41. Maik Eisenbeiss & Goran Kauermann & Willi Semmler, 2007. "Estimating Beta-Coefficients of German Stock Data: A Non-Parametric Approach," The European Journal of Finance, Taylor & Francis Journals, vol. 13(6), pages 503-522.
  42. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, University Library of Munich, Germany.
  43. repec:ehu:biltok:5581 is not listed on IDEAS
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