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Time-varying betas and the cross-sectional return-risk relation: evidence from the UK
Fraser, Patricia; Hamelink, Foort; Hoesli, Martin; … - In: The European Journal of Finance 10 (2004) 4, pp. 255-276
The seminal study by Fama and MacBeth in 1973 initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate as to whether beta is a valid measure of risk was reanimated by Fama and French and subsequent studies. Rather than focusing on exogenous...
Persistent link: https://www.econbiz.de/10005471909
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International comparisons on stock market short-termism : how different is the UK experience?
Black, Angela J.; Fraser, Patricia - In: The Manchester School 68 (1999) Suppl, pp. 38-50
Persistent link: https://www.econbiz.de/10001514403
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Time-varying betas and cross-sectional return-risk relation : evidence from the UK
Fraser, Patricia (contributor) - 2000
Persistent link: https://www.econbiz.de/10001445841
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The sensitivity of tests of asset pricing models to the iid-normal assumption : contemporaneous evidence from the US and UK stock markets
Groenewold, Nicolaas; Fraser, Patricia - 2000
Persistent link: https://www.econbiz.de/10001467392
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Share prices and macroeconomic factors
Groenewold, Nicolaas; Fraser, Patricia - 1995 - Version 2
Persistent link: https://www.econbiz.de/10000930900
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Forecasting beta : how well does the "five-year rule of thumb" do?
Groenewold, Nicolaas; Fraser, Patricia - 1999
Persistent link: https://www.econbiz.de/10001374842
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Violation of the iid-normal assumption : effects on tests of asset-pricing models using Australian data
Groenewold, Nicolaas; Fraser, Patricia - 1999
Persistent link: https://www.econbiz.de/10001388079
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Tests of asset-pricing models : how important is the iid-normal assumption
Groenewold, Nicolaas; Fraser, Patricia - In: Journal of empirical finance 8 (2001) 4, pp. 427-449
Persistent link: https://www.econbiz.de/10001607068
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Time-varying betas and macroeconomic influences
Groenewold, Nicolaas; Fraser, Patricia - 1997
Persistent link: https://www.econbiz.de/10000968430
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European excess stock returns and capital market integration : an empirical perspective
Fraser, Patricia; MacDonald, Ronald - 1992
Persistent link: https://www.econbiz.de/10000139395