The form of time variation of systematic risk: some Australian evidence
Many studies have investigated the issue of time stationarity of an asset's systematic risk. While there is considerable evidence to suggest that an asset's systematic risk is best described by some stochastic parameter model, little work has been conducted in determining the most appropri...
Gespeichert in:
| Veröffentlicht in: | Applied financial economics 1992-12, Vol.2 (4), p.191-198 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 198 |
|---|---|
| container_issue | 4 |
| container_start_page | 191 |
| container_title | Applied financial economics |
| container_volume | 2 |
| creator | Brooks, Robert D. Faff, Robert W. Lee, John H. H. |
| description | Many studies have investigated the issue of time stationarity of an asset's systematic risk. While there is considerable evidence to suggest that an asset's systematic risk is best described by some stochastic parameter model, little work has been conducted in determining the most appropriate stochastic parameter model. This paper addresses this issue. We extend the study conducted by Faff et al. to investigate which varying-coefficient model best describes the systematic risk of assets in the Australian equity market for those assets for which a constant-coefficient model is found to be inadequate. The testing strategy is point-optimal (see King, M. L. (1987a)) given that this approach to testing is designed to have good small-sample properties. Our results suggest that, generally, in cases where a stochastic parameter is appropriate, a
Hildreth-Houck random-coefficient model is the preferred model |
| doi_str_mv | 10.1080/758527100 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_infor</sourceid><recordid>TN_cdi_proquest_journals_197182102</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>948789</sourcerecordid><originalsourceid>FETCH-LOGICAL-c3110-36fb45f868b86f8914a385e603e1878e7e1793e917bb400daef3e8979b37cc693</originalsourceid><addsrcrecordid>eNplkE1LAzEQhoMoWKsH_8HiQfCwmtlkk6y3UvyCgpd6Dtl0gqm7m5rsVvrv3VLxoKdhhmdmXh5CLoHeAlX0TpaqLCRQekQmwIXIOaPlMZnQStCcAZWn5CylNaVQKAET8rR8x8yF2GbBZb1vMdua6E3vQ7efpF3qsR1bm0WfPu6zFEZkNqQ-msabLsOtX2Fn8ZycONMkvPipU_L2-LCcP-eL16eX-WyRWwYwJhCu5qVTQtVKOFUBN0yVKChDUFKhRJAVwwpkXXNKVwYdQ1XJqmbSWlGxKbk-3N3E8Dlg6nXrk8WmMR2GIWkmOecF34NXf8B1GGI3ZtNQSVAF0GKEbg6QjSGliE5vom9N3Gmgeu9T__ocWX5gfbf3Zb5CbFa6N7smRBdNZ_34_f_aN2fKdqk</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>197182102</pqid></control><display><type>article</type><title>The form of time variation of systematic risk: some Australian evidence</title><source>EBSCOhost Business Source Complete</source><source>Taylor & Francis Journals Complete</source><creator>Brooks, Robert D. ; Faff, Robert W. ; Lee, John H. H.</creator><creatorcontrib>Brooks, Robert D. ; Faff, Robert W. ; Lee, John H. H.</creatorcontrib><description>Many studies have investigated the issue of time stationarity of an asset's systematic risk. While there is considerable evidence to suggest that an asset's systematic risk is best described by some stochastic parameter model, little work has been conducted in determining the most appropriate stochastic parameter model. This paper addresses this issue. We extend the study conducted by Faff et al. to investigate which varying-coefficient model best describes the systematic risk of assets in the Australian equity market for those assets for which a constant-coefficient model is found to be inadequate. The testing strategy is point-optimal (see King, M. L. (1987a)) given that this approach to testing is designed to have good small-sample properties. Our results suggest that, generally, in cases where a stochastic parameter is appropriate, a
Hildreth-Houck random-coefficient model is the preferred model</description><identifier>ISSN: 0960-3107</identifier><identifier>EISSN: 1466-4305</identifier><identifier>DOI: 10.1080/758527100</identifier><language>eng</language><publisher>London: Chapman & Hall</publisher><subject>Australia ; Comparative studies ; Economic theory ; Regression analysis ; Risk ; Securities markets ; Stochastic models ; Test methods ; Time ; Variation</subject><ispartof>Applied financial economics, 1992-12, Vol.2 (4), p.191-198</ispartof><rights>Copyright Taylor & Francis Group, LLC 1992</rights><rights>Copyright Routledge Dec 1992</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c3110-36fb45f868b86f8914a385e603e1878e7e1793e917bb400daef3e8979b37cc693</citedby><cites>FETCH-LOGICAL-c3110-36fb45f868b86f8914a385e603e1878e7e1793e917bb400daef3e8979b37cc693</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.tandfonline.com/doi/pdf/10.1080/758527100$$EPDF$$P50$$Ginformaworld$$H</linktopdf><linktohtml>$$Uhttps://www.tandfonline.com/doi/full/10.1080/758527100$$EHTML$$P50$$Ginformaworld$$H</linktohtml><link.rule.ids>314,780,784,27924,27925,59647,60436</link.rule.ids></links><search><creatorcontrib>Brooks, Robert D.</creatorcontrib><creatorcontrib>Faff, Robert W.</creatorcontrib><creatorcontrib>Lee, John H. H.</creatorcontrib><title>The form of time variation of systematic risk: some Australian evidence</title><title>Applied financial economics</title><description>Many studies have investigated the issue of time stationarity of an asset's systematic risk. While there is considerable evidence to suggest that an asset's systematic risk is best described by some stochastic parameter model, little work has been conducted in determining the most appropriate stochastic parameter model. This paper addresses this issue. We extend the study conducted by Faff et al. to investigate which varying-coefficient model best describes the systematic risk of assets in the Australian equity market for those assets for which a constant-coefficient model is found to be inadequate. The testing strategy is point-optimal (see King, M. L. (1987a)) given that this approach to testing is designed to have good small-sample properties. Our results suggest that, generally, in cases where a stochastic parameter is appropriate, a
Hildreth-Houck random-coefficient model is the preferred model</description><subject>Australia</subject><subject>Comparative studies</subject><subject>Economic theory</subject><subject>Regression analysis</subject><subject>Risk</subject><subject>Securities markets</subject><subject>Stochastic models</subject><subject>Test methods</subject><subject>Time</subject><subject>Variation</subject><issn>0960-3107</issn><issn>1466-4305</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1992</creationdate><recordtype>article</recordtype><recordid>eNplkE1LAzEQhoMoWKsH_8HiQfCwmtlkk6y3UvyCgpd6Dtl0gqm7m5rsVvrv3VLxoKdhhmdmXh5CLoHeAlX0TpaqLCRQekQmwIXIOaPlMZnQStCcAZWn5CylNaVQKAET8rR8x8yF2GbBZb1vMdua6E3vQ7efpF3qsR1bm0WfPu6zFEZkNqQ-msabLsOtX2Fn8ZycONMkvPipU_L2-LCcP-eL16eX-WyRWwYwJhCu5qVTQtVKOFUBN0yVKChDUFKhRJAVwwpkXXNKVwYdQ1XJqmbSWlGxKbk-3N3E8Dlg6nXrk8WmMR2GIWkmOecF34NXf8B1GGI3ZtNQSVAF0GKEbg6QjSGliE5vom9N3Gmgeu9T__ocWX5gfbf3Zb5CbFa6N7smRBdNZ_34_f_aN2fKdqk</recordid><startdate>19921201</startdate><enddate>19921201</enddate><creator>Brooks, Robert D.</creator><creator>Faff, Robert W.</creator><creator>Lee, John H. H.</creator><general>Chapman & Hall</general><general>Routledge, Taylor & Francis Group</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19921201</creationdate><title>The form of time variation of systematic risk: some Australian evidence</title><author>Brooks, Robert D. ; Faff, Robert W. ; Lee, John H. H.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c3110-36fb45f868b86f8914a385e603e1878e7e1793e917bb400daef3e8979b37cc693</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1992</creationdate><topic>Australia</topic><topic>Comparative studies</topic><topic>Economic theory</topic><topic>Regression analysis</topic><topic>Risk</topic><topic>Securities markets</topic><topic>Stochastic models</topic><topic>Test methods</topic><topic>Time</topic><topic>Variation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Brooks, Robert D.</creatorcontrib><creatorcontrib>Faff, Robert W.</creatorcontrib><creatorcontrib>Lee, John H. H.</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Applied financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Brooks, Robert D.</au><au>Faff, Robert W.</au><au>Lee, John H. H.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The form of time variation of systematic risk: some Australian evidence</atitle><jtitle>Applied financial economics</jtitle><date>1992-12-01</date><risdate>1992</risdate><volume>2</volume><issue>4</issue><spage>191</spage><epage>198</epage><pages>191-198</pages><issn>0960-3107</issn><eissn>1466-4305</eissn><abstract>Many studies have investigated the issue of time stationarity of an asset's systematic risk. While there is considerable evidence to suggest that an asset's systematic risk is best described by some stochastic parameter model, little work has been conducted in determining the most appropriate stochastic parameter model. This paper addresses this issue. We extend the study conducted by Faff et al. to investigate which varying-coefficient model best describes the systematic risk of assets in the Australian equity market for those assets for which a constant-coefficient model is found to be inadequate. The testing strategy is point-optimal (see King, M. L. (1987a)) given that this approach to testing is designed to have good small-sample properties. Our results suggest that, generally, in cases where a stochastic parameter is appropriate, a
Hildreth-Houck random-coefficient model is the preferred model</abstract><cop>London</cop><pub>Chapman & Hall</pub><doi>10.1080/758527100</doi><tpages>8</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0960-3107 |
| ispartof | Applied financial economics, 1992-12, Vol.2 (4), p.191-198 |
| issn | 0960-3107 1466-4305 |
| language | eng |
| recordid | cdi_proquest_journals_197182102 |
| source | EBSCOhost Business Source Complete; Taylor & Francis Journals Complete |
| subjects | Australia Comparative studies Economic theory Regression analysis Risk Securities markets Stochastic models Test methods Time Variation |
| title | The form of time variation of systematic risk: some Australian evidence |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-25T00%3A58%3A32IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_infor&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20form%20of%20time%20variation%20of%20systematic%20risk:%20some%20Australian%20evidence&rft.jtitle=Applied%20financial%20economics&rft.au=Brooks,%20Robert%20D.&rft.date=1992-12-01&rft.volume=2&rft.issue=4&rft.spage=191&rft.epage=198&rft.pages=191-198&rft.issn=0960-3107&rft.eissn=1466-4305&rft_id=info:doi/10.1080/758527100&rft_dat=%3Cproquest_infor%3E948789%3C/proquest_infor%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=197182102&rft_id=info:pmid/&rfr_iscdi=true |