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Mean–Variance Efficiency, Aggregate Shocks and Return Horizons

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  • Patricia Fraser
  • Nicolaas Groenewold

Abstract

Using monthly, semi‐annual and annual sampling frequencies from February 1974 to June 1996, we reject the mean–variance efficiency of the Australian stock market while supporting the view that conditional variances are not constant in time. Results indicate that unexpected movements in key aggregate factors have added value in explaining industrial sector conditional volatility, particularly at horizons of six months and greater.

Suggested Citation

  • Patricia Fraser & Nicolaas Groenewold, 2001. "Mean–Variance Efficiency, Aggregate Shocks and Return Horizons," Manchester School, University of Manchester, vol. 69(1), pages 52-76, January.
    • Handle: RePEc:bla:manchs:v:69:y:2001:i:1:p:52-76
    DOI: 10.1111/1467-9957.00235
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    Cited by:

    1. Imran Shah & Francesca Schmidt-Fischer & Issam Malki, 2018. "The portfolio balance channel: an analysis on the impact of quantitative easing on the US stock market," Department of Economics Working Papers 74/18, University of Bath, Department of Economics.
    2. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.
    3. Shah, Imran Hussain & Schmidt-Fischer, Francesca & Malki, Issam & Hatfield, Richard, 2019. "A structural break approach to analysing the impact of the QE portfolio balance channel on the US stock market," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 204-220.

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