Tests for active management inevitably focus on long periods. Yet, implicit in these tests is the assumption that active management generates a stable excess return. We argue that this assumption is not appropriate for active management where the emphasis is on identifying profitable trading...

A number of studies exist across a range of equity markets showing that a significant proportion of stocks in those markets have betas that vary over time. A research challenge posed by this body of evidence is to identify the factors that explain this time variation in individual stock betas....

The finance literature is replete with studies using the market model (MM) and the quadratic market model (QMM) as the return generating model. An alternative model, using the quadratic market model framework, was adopted by Barone-Adesi (1985) to test a two factor APT model related to the Three...

The estimation of systematic risk is central to the implementation of the Capital Asset Pricing Model and the market model for both researchers and practitioners. It is well known that a variety of beta estimates can result for the one stock depending on various factors. In this paper, we are...

Terrorist attacks such as the attacks on the World Trade Centre in September 2001 have generated new interest in the debate on capital punishment. It has been suggested that support for the death penalty could be higher in the wake of terrorist activity. Using data from the Australian Election...