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The Existence Of Heteroscedasticity And Its Effect On Estimates Of The Market Model Parameters

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  • Bill McDonald
  • Michael H. Morris

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  • Bill McDonald & Michael H. Morris, 1983. "The Existence Of Heteroscedasticity And Its Effect On Estimates Of The Market Model Parameters," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 115-126, June.
    • Handle: RePEc:bla:jfnres:v:6:y:1983:i:2:p:115-126
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1983.tb00319.x
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    References listed on IDEAS

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    1. Bey, Roger P. & Pinches, George E., 1980. "Additional Evidence of Heteroscedasticity in the Market Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 299-322, June.
    2. Belkaoui, Ahmed, 1977. "Canadian Evidence of Heteroscedasticity in the Market Model," Journal of Finance, American Finance Association, vol. 32(4), pages 1320-1324, September.
    3. Brown, Stephen J, 1977. "Heteroscedasticity in the Market Model: A Comment," The Journal of Business, University of Chicago Press, vol. 50(1), pages 80-83, January.
    4. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    5. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    6. Martin, John D & Klemkosky, Robert C, 1975. "Evidence of Heteroscedasticity in the Market Model," The Journal of Business, University of Chicago Press, vol. 48(1), pages 81-86, January.
    7. Bacon, R W, 1971. "A Note on the Effects of Heteroskedasticity in Econometric Models Estimated By Ordinary Least Squares," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 33(2), pages 107-114, May.
    8. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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