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Specification Tests for Portfolio Regression Parameter Stationarity and the Implications for Empirical Research

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  • Kon, Stanley J
  • Lau, W Patrick

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  • Kon, Stanley J & Lau, W Patrick, 1979. "Specification Tests for Portfolio Regression Parameter Stationarity and the Implications for Empirical Research," Journal of Finance, American Finance Association, vol. 34(2), pages 451-465, May.
    • Handle: RePEc:bla:jfinan:v:34:y:1979:i:2:p:451-65
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    Citations

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    Cited by:

    1. Roger P. Bey, 1983. "The Market Model As An Appropriate Description Of The Stochastic Process Generating Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 275-288, December.
    2. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
    3. Bill McDonald & William D. Nichols, 1984. "Nonstationarity Of Beta And Tests Of Market Efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(4), pages 315-322, December.
    4. Michael Theobald, 1985. "Exclusion period and market model parameter nonstationarities in price reaction studies," Contemporary Accounting Research, John Wiley & Sons, vol. 2(1), pages 1-22, September.
    5. Michael Theobald, 1985. "Période d'exclusion et paramètres non†stationnaires d'un modèle de marché dans des études de réactions des prix," Contemporary Accounting Research, John Wiley & Sons, vol. 2(1), pages 23-45, September.
    6. J. C. Matallin & A. Fernandez-Izquierdo, 2003. "Passive timing effect in portfolio management," Applied Economics, Taylor & Francis Journals, vol. 35(17), pages 1829-1837.
    7. Burnett, John E. & Carroll, Carolyn & Thistle, Paul, 1995. "Implications of multiple structural changes in event studies," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(4), pages 467-480.
    8. David C. Leonard & Nicholas R. Noble, 1981. "Estimation Of Time—Varying Systematic Risk And Investment Performance: Closed—End Investment Companies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 109-120, June.
    9. Pankaj K. Agarwal & H. K. Pradhan, 2018. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 157-184, August.
    10. A. Rashad Abdel†Khalik, 1990. "Specification problems with information content of earnings: revisions and rationality of expectations and self†selection bias," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 142-172, September.

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