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Violation of the IID-Normal Assumption: Effects on tests of asset-pricing models using Australian data

Groenewold, N.; Fraser, P. - Department of Economics, Business School - 1999

Persistent link: https://www.econbiz.de/10011202229

Forecasting Beta: How well does the 'five year rule of thumb' do?

Groenewold, N.; Fraser, P. - Department of Economics, Business School - 1999

Persistent link: https://www.econbiz.de/10011202301

Tests of Asset-pricing Models: How important is the IID-normal assumptions?

Groenewold, N.; Fraser, P. - Department of Economics, Business School - 1998

Persistent link: https://www.econbiz.de/10011202305

Time-varying betas & macroeconomic influences

Groenewold, N.; Fraser, P. - Department of Economics, Business School - 1997

Persistent link: https://www.econbiz.de/10011203233

Regional Monetary Policy: An Australian Perspective

Fraser, P.; Macdonald, G. A.; Mullineux, A. W. - In: Regional Studies 48 (2014) 8, pp. 1419-1433

F<sc>raser</sc> P., M<sc>ac</sc>D<sc>onald</sc> G. A. and M<sc>ullineux</sc> A. W. Regional monetary policy: an Australian perspective, <italic>Regional Studies</italic>. A structural vector autoregressive (SVAR) model for Australia is utilized to identify the domestic impacts of <italic>common</italic> monetary policy shocks on national and state business cycles...

Persistent link: https://www.econbiz.de/10010976857

“Win/Win. Improving farm profit and the environment through the application of Farm Management principles.”

Ridler, B.J.; Anderson, W.J.; Fraser, P.; McCallum, R.L. - New Zealand Agricultural and Resource Economics Society … - 2014

Persistent link: https://www.econbiz.de/10011070330

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

Fraser, P.; Hamelink, F.; Hoesli, M.; MacGregor, B. - Geneva School of Economics and Management, Université … - 2000

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. Rather than focusing on exogenous...

Persistent link: https://www.econbiz.de/10005669381

Share Prices and Macroeconomic Factors.

Fraser, P.; Groenewold, N. - School of Economics and Finance, Tasmanian School of … - 1995

Persistent link: https://www.econbiz.de/10005631048

Macroeconomic Shocks and Sector Excess Returns: Evidence from the Australian Stock Market.

Fraser, P.; Groenewold, N. - School of Economics and Finance, Tasmanian School of … - 1995

Persistent link: https://www.econbiz.de/10005631070

Conditional Heterskedasticity in the Equity Returns from Emerging Markets.

Fraser, P.; Power, D.M. - School of Economics and Finance, Tasmanian School of … - 1993

Persistent link: https://www.econbiz.de/10005631082