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Market Model Corrected For Generalized Autoregressive Conditional Heteroscedasticity And The Small Firm Effect

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  • Asim K. Ghosh

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  • Asim K. Ghosh, 1992. "Market Model Corrected For Generalized Autoregressive Conditional Heteroscedasticity And The Small Firm Effect," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 277-283, September.
    • Handle: RePEc:bla:jfnres:v:15:y:1992:i:3:p:277-283
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1992.tb00805.x
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    References listed on IDEAS

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    1. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 101-116, March.
    2. Tinic, Seha M. & West, Richard R., 1984. "Risk and return : Janaury vs. the rest of the year," Journal of Financial Economics, Elsevier, vol. 13(4), pages 561-574, December.
    3. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December.
    4. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    5. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    6. Bera, Anil & Bubnys, Edward & Park, Hun, 1988. "Conditional Heteroscedasticity in the Market Model and Efficient Estimates of Betas," The Financial Review, Eastern Finance Association, vol. 23(2), pages 201-214, May.
    7. Gilmer, R. Jr., 1988. "Risk and return: A question of the holding period," Journal of Economics and Business, Elsevier, vol. 40(2), pages 129-137, May.
    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    Cited by:

    1. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.

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