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Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks · Study

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ArticleStationarity of Market Risk: Random Coefficients Tests for Individual Stocks

Shyam V. Sunder1980

Article1980

Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks

Shyam V. Sunder

191 citations·0/0 files stored·The Journal of Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios 1970The Association Between Market Determined and Accounting Determined Risk Measures.1973The Prediction of Systematic and Specific Risk in Common Stocks 1971On the Short-Term Stationarity of Beta Coefficients 1970Portfolio Theory: A Step Toward Its Practical Application

Cited by

1998Time‐Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques 1983Estimating and Adjusting for the Intervalling-Effect Bias in Beta 2006Bayesian Alphas and Mutual Fund Persistence 1987Some Further Evidence on the Stochastic Properties of Systematic Risk 2008Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques 1994Variable betas on the Stockholm exchange 1971-1989 1992The form of time variation of systematic risk: some Australian evidence 1992TIME STATIONARITY OF SYSTEMATIC RISK: SOME AUSTRALIAN EVIDENCE

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1989The Impact of the Demand Volatility and Leverages On the Systematic Risk of Common Stocksarticle · 3 shared references 1992The dynamic and stochastic instability of betas: Implications for forecasting stock returnsarticle · 3 shared references 1980Stability of mutual fund systematic risk statisticsarticle · 3 shared references 1975SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISKarticle · 2 shared references 1980Towards Indices of Real Estate Value and Returnarticle · 2 shared references 2005Bayesian Analysis of Stochastic Betasarticle · 2 shared references

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Year1980

Typearticle

Published1980-09-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations191

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1111/j.1540-6261.1980.tb03507.x

openalex_workW2170584503

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