1 option
Heteroskedasticity in Stock Returns / G. William Schwert, Paul J. Seguin.
- Format:
- Book
- Author/Creator:
- Schwert, G. William.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2956.
- NBER working paper series no. w2956
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- We use predictions of aggregate stock return variances from daily data to estimate time varying monthly variances for size-ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time-varying betas. Implications of heteroskedasticity and time-varying betas for tests of the capital asset pricing model (CAPM) are then documented. Accounting for heteroskedasticity increases the evidence that risk-adjusted returns are related to firm size. We also estimate a constant correlation model. Portfolio volatilities predicted by this model are similar to those predicted by more complex multivariate generalized-autoregressive- conditional- heteroskedasticity (GARCH) procedures.
- Notes:
- Print version record
- May 1989.
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