Functional Form of Stock Return Model : Some International Evidence

A Linear (loglinear) empirical return model is rejected for more than half (one-third) of an international sample of 425 stocks. A generalized functional form improves explanatory power and enhances the role of a global index in the stock return model. Additionally, the inclusion of a lagged dependent variable seems desirable for many stocks to allow incomplete price response to domestic and global market variations

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Year of publication:	[1997]
Authors:	Chaudhury, M.M.
Other Persons:	Lee, Cheng-Few (contributor)
Publisher:	[1997]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol. 37, No. 1, Spring 1997 Volltext nicht verfügbar
Classification:	G12 - Asset Pricing ; G15 - International Financial Markets ; F30 - International Finance. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012792182