haku: @author Lee, J. H. H. / yhteensä: 1
viite: 1 / 1
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| Tekijä: | Faff, R. W. Lee, J. H. H. Fry, T. R. L. |
| Otsikko: | Time stationarity of systematic risk: some Australian evidence. |
| Lehti: | Journal of Business Finance and Accounting
1992 : JAN, VOL. 19:2, p. 253-270 |
| Asiasana: | RISK FINANCIAL MODELS AUSTRALIA STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | While the evidence on time-varying systematic risk of US assets is well documented in the literature, little work has been conducted in the Australian Equity market. This paper intends to fill this gap in the literature by employing an alternative testing procedure to those used in previous studies. Moreover, a new methodology of determining the p-value of a test statistic is applied. The results of the study suggest that there is evidence of time-varying systematic risk for both individual assets and portfolios in Australia. |
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