Time-varying beta risk for Australian industry portfolios: An exploratory analysis

Journal of Business Finance and Accounting

Volumn 25, Issue 5-6, 1998, Pages 721-745

  Faff, R W ^a   Brooks, R D ^a  

^a RMIT UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040749640     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/1468-5957.00209     Document Type: Article

References (23)

1. Abell, J. and T. Krueger (1989), 'Macroeconomic Influences on Beta', Journal of Economics and Business, Vol. 41, pp. 185-93.
2. Alexander, G., P. Benson and C. Eger (1982), 'Timing Decisions and the Behaviour of Mutual Fund Systematic Risk', Journal of Financial and Quantitative Analysis, Vol. 17, pp. 579-602.
3. Bhardwaj, R. and L. Brooks (1993), 'Dual Betas from Bull and Bear Markets: Reversal of the Size Effect', The Journal of Financial Research, Vol. 16, pp. 269-83.
4. Black, A., P. Fraser and D. Power (1992), 'UK Unit Trust Performance 1980-1989: A Passive Time-Varying Approach', Journal of Banking and Finance, Vol. 16, pp. 1015-33.
5. Bos, T. and P. Newbold (1984), 'An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model', Journal of Business, Vol. 57, pp. 35-41.
6. Breusch, T. and A. Pagan (1979), 'A Simple Test for Heteroskedasticity and Random Coefficient Variation', Econometrica, Vol. 47, pp. 1287-94.
7. Brooks R. and R. Faff (1995), 'Financial Market Deregulation and Bank Risk: Testing for Beta Instability', Australian Economic Papers, Vol. 34, No. 65, pp. 180-99.
8. -and J. Lee (1992), 'The Form of Time Variation of Systematic Risk: Some Australian Evidence', Applied Financial Economics, Vol. 2, pp. 191-8.
9. -(1994), 'Beta Stability and Portfolio Formation', Pacific-Basin Finance Journal, Vol. 2, No. 4, pp. 463-79.
10. Chen, N-F. (1983), 'Some Empirical Tests of the Theory of Arbitrage Pricing', Journal of Finance, Vol. 38, pp. 1393-414.
11. Collins, D., J. Ledolter and J. Rayburn (1987), 'Some Further Evidence on the Stochastic Properties of Systematic Risk', Journal of Business, Vol. 60, pp. 425-48.
12. Faff, R. and R. Brooks (1997), 'Further Evidence on the Relationship between Beta Stability and the Length of Estimation Period', Advances in Investment Analysis and Portfolio Management, Vol. 4, pp. 97-133.
13. -J. Lee and T. Fry (1992), 'Time Stationarity of Systematic Risk: Some Australian Evidence', Journal of Business Finance & Accounting, Vol. 19, No. 2, pp. 253-70.
14. Jobson, J. and B. Korkie (1982), 'Potential Performance and Tests of Portfolio Efficiency', Journal of Financial Economics, Vol. 10, pp. 433-66.
15. Pope, P. and M. Warrington (1996), 'Time Varying Properties of the Market Model Coefficients', Accounting Research Journal, Vol. 9, No.2, pp. 5-21.
16. Rosenberg, B. and W. McKibben (1973), 'The Prediction of Systematic and Specific Risk in Common Stocks', Journal of Financial and Quantitative Analysis, Vol. 8, pp. 317-33.
17. -and V. Marathe (1975), 'The Prediction of Investment Risk: Systematic and Residual Risk', Reprint No. 21, from Proceedings of the Seminar on the Analysis of Security Prices (University of Chicago, Institute of Business and Economics Research, University of California, Berkeley).
18. Rubio, G. (1989), 'An Empirical Evaluation of the Intertemporal Capital Asset Pricing Model: The Stock Market in Spain', Journal of Business Finance & Accounting, Vol. 16, No. 5 (Winter), pp. 729-43.
19. Shanken, J. (1990), 'Intertemporal Asset Pricing: An Empirical Investigation', Journal of Econometrics, Vol. 45, pp. 99-120.
20. Simonds, R., L. La Motte and A. McWhorter (1986), 'Testing for Nonstationarity of Market Risk: An Exact Test and Power Considerations', Journal of Financial and Quantitative Analysis, Vol. 21, pp. 209-20.
21. Sunder, S. (1980), 'Stationarity of Market Risk: Random Coefficient Tests for Individual Stocks', Journal of Finance, Vol. 35, pp. 883-96.
22. Wells, C. (1994), 'Variable Betas on the Stockholm Exchange 1971-1989', Applied Financial Economics, Vol. 4, pp. 75-92.
23. White, H. (1980), 'A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity', Econometrica, Vol. 48, pp. 817-38.