Testing the conditional CAPM and the effect of intervaling: A note

Pacific Basin Finance Journal

Volumn 5, Issue 5, 1997, Pages 527-537

  Brailsford, Timothy J ^a   Faff, Robert W ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b RMIT UNIVERSITY   (Australia)

Author keywords

Conditional CAPM; G12; GARCH; Intervaling

Indexed keywords

EID: 0010785373     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(97)00018-8     Document Type: Article

References (16)

1. Baillie R.T., DeGennaro R.P. Stock returns and volatility. Journal of Financial Quantitative Analysis. 25:1990;203-214.
2. Ball R., Bowers J. A corrected Statex-actuaries daily accumulation index. Australian Journal of Management. 12:1987;1-8.
3. Bollerslev T. A conditional heteroscedastic time series model for speculative prices and rates of return. Review of Economics and Statistics. 69:1987;542-547.
4. Bollerslev T., Chou R.Y., Kroner K.F. ARCH modelling in finance: A review of the theory and empirical evidence. Journal of Econometrics. 52:1992;61-90.
5. Brailsford T.J. Market closures and time-varying volatility in the Australian equity market. Journal of Empirical Finance. 2:1995;165-172.
6. Brailsford T.J., Faff R.W. Modelling Australian stock market volatility. Australian Journal of Management. 18:1993;109-132.
7. French K.R., Schwert G.W., Stambaugh R.F. Expected stock returns and volatility. Journal of Financial Economics. 19:1987;3-30.
8. Handa P., Kothari S.P., Wasley C. Sensitivity of multivariate tests of the capital asset-pricing model to the return measurement interval. Journal of Finance. 48:1993;1543-1551.
9. Kearns P., Pagan A.R. Australian stock market volatility. The Economic Record. 69:1993;163-178.
10. Kothari S.P., Shanken J., Sloan R.G. Another look at the cross-section of expected stock returns. Journal of Finance. 50:1995;185-224.
11. Lewis K. Should the holding period matter for the intertemporal consumption-based CAPM? Journal of Monetary Economics. 28:1991;365-389.
12. McGuirk A., Robertson J., Spanos A. Modelling exchange rate dynamics: Non-linear dependence and thick tails. Econometric Reviews. 12:1993;33-66.
13. Nelson D.B. ARCH models as diffusion approximations. Journal of Econometrics. 45:1990;7-38.
14. Nelson D.B. Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model. Journal of Econometrics. 52:1992;61-90.
15. Parhizgari A.M., Dandapani K., Prakash A.J. Arbitrage pricing theory and the investment horizon. Journal of Business Finance and Accounting. 20:1993;27-40.
16. Turtle H.J. Temporal dependence in asset pricing models. Economics Letters. 45:1994;361-366.