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Asset pricing dynamics

Author

Listed:
  • Raphael Markellos
  • Terence Mills

Abstract

This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural breaks and microstructures, dynamics in the mean and variance process, and non-stationary regressions and cointegration. An empirical application using UK stock market data demonstrates the merit of the proposed methodology in correcting market model regressions.

Suggested Citation

  • Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    • Handle: RePEc:taf:eurjfi:v:9:y:2003:i:6:p:533-556
    DOI: 10.1080/1351847032000082547
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    References listed on IDEAS

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    Cited by:

    1. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.

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