Samartzis, Panagiotis; Pittis, Nikitas; Kourogenis, Nikolaos - Department of International and European Economic …
The Single Factor Model (SFMT) of stock returns in its simplest form, namely the one that assumes time-invariant beta and homoskedastic error has been found to be empirically inadequate.The beta coefficient and the error process exhibit signi��cant time-variation and dynamic...