Evidence of Heteroscedasticity in the Market Model

Abstract

The market model has gained wide acceptance among academicians and is becoming increasingly accepted by portfolio managers. This study presents a statistical analysis of the homoscedasticity assumption, which, although important to the successful application of the market model, has not been fully tested in the literature. In one form or another, the simple model which follows has been used to express the relationship between the return of security i, Rit, and temporally corresponding market return, Rmt:

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 31 citations exist upstream.