Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period

Robert William Faff and R. Brooks

Working Papers from Melbourne - Centre in Finance

Abstract: This paper extends the existing literature into the relationship between beta stability and the length of the estimation period. Specifically of our analysis in the use of powerful new econometrics tests and their application to non-US data, namely, Australian monthly stock returns.

Keywords: TESTS; FINANCIAL MARKET; EVALUATION (search for similar items in EconPapers)
JEL-codes: G12 G13 C81 (search for similar items in EconPapers)
Date: 1996

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Persistent link: http://EconPapers.repec.org/RePEc:fth:melrfi:96-10

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