| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2956 |
| 来源ID | Working Paper 2956 |
| Heteroskedasticity in Stock Returns | |
| G. William Schwert; Paul J. Seguin | |
| 发表日期 | 1989-05-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | We use predictions of aggregate stock return variances from daily data to estimate time varying monthly variances for size-ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time-varying betas. Implications of heteroskedasticity and time-varying betas for tests of the capital asset pricing model (CAPM) are then documented. Accounting for heteroskedasticity increases the evidence that risk-adjusted returns are related to firm size. We also estimate a constant correlation model. Portfolio volatilities predicted by this model are similar to those predicted by more complex multivariate generalized-autoregressive- conditional- heteroskedasticity (GARCH) procedures. |
| 主题 | Econometrics ; Macroeconomics |
| URL | https://www.nber.org/papers/w2956 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560231 |
| 推荐引用方式 GB/T 7714 | G. William Schwert,Paul J. Seguin. Heteroskedasticity in Stock Returns. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2956.pdf（313KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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