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| Author: | Asgharian, H. Hansson, B. |
| Title: | Cross-sectional analysis of Swedish Stock Returns with time-varying beta: the Swedish stock market 1983-96 |
| Journal: | European Financial Management
2000 : JUN, VOL. 6:2, p. 213-234 |
| Index terms: | CROSS-SECTIONAL MODELS SWEDEN STOCK RETURNS |
| Language: | eng |
| Abstract: | This paper analyses the ability of beta and other factors, like firm size and book-to-market, to explain cross- sectional variation in average stock returns on the Swedish stock market for the period 1983-96. The authors use a bivariate GARCH (1,1) process to estimate time-varying betas for asset returns. The estimated variances of these betas, derived from a Taylor series approximation, are used for correcting errors in variables. |
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