Purpose – Variations in price/earnings (P/E) ratios are explained in a rational expectations framework by a number of fundamental factors, such as differences in growth expectations and risk. The purpose of this paper is to use a regression model and data from four sample periods (1996, 2000,...

Purpose – The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return. Design/methodology/approach – Different GARCH models,...