Time-Varying Betas and Cross-Sectional Return-Risk Relation : Evidence form the UK

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies.(...)

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Year of publication:	2000
Authors:	Fraser, Patricia ; Hamelink, Foort ; Hoesli, Martin ; MacGregor, Bryan
Institutions:	Université <Genève> / Section des Hautes Etudes Commerciales
Subject:	Capital-Asset-Pricing-Modell \| Betafaktor \| Prognosequalität \| forecasting \| Empirische Forschung \| empirical research \| Korrelationsanalyse \| ARCH-Prozess \| Einflussgröße

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Table of Contents
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Introduction
Data and summary statistics
Methodology
Results
Conclusion
References
Appendix

Persistent link: https://www.econbiz.de/10005843529