Mean-variance efficiency, aggregate shocks and return horizons

被引：1
|
作者：
Fraser, P [1 ]
Groenewold, N
机构：
[1] Univ Aberdeen, Aberdeen AB9 1FX, Scotland
[2] Univ Western Australia, Nedlands, WA 6009, Australia
来源：
MANCHESTER SCHOOL | 2001年 / 69卷 / 01期
关键词：
D O I：
10.1111/1467-9957.00235
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using monthly, semi-annual and annual sampling frequencies from February 1974 to June 1996, we reject the mean-variance efficiency of the Australian stock market while supporting the view that conditional variances are not constant in time. Results indicate that unexpected movements in key aggregate factors have added value in explaining industrial sector conditional volatility, particularly at horizons of six months and greater.
引用
收藏
页码：52 / 76
页数：25
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