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ToolsMarkellos, Raphael N. and Mills, Terence C. (2003) Asset pricing dynamics. The European Journal of Finance, 9 (6). pp. 533-556. ISSN 1351-847X
Full text not available from this repository. (Request a copy)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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | capital asset pricing model,econometrics,time series,uk market model |
| Faculty \ School: | Faculty of Social Sciences > Norwich Business School |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Finance Group Faculty of Social Sciences > Research Centres > Centre for Competition Policy |
| Depositing User: | Pure Connector |
| Date Deposited: | 04 Dec 2013 13:20 |
| Last Modified: | 18 Apr 2023 23:48 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/45291 |
| DOI: | 10.1080/1351847032000082547 |
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