Do the common risk factors always capture strong variation in stock returns?

Pradosh Simlai ()
Additional contact information
Pradosh Simlai: College of Business and Public Administration, University of North Dakota

Journal of Asset Management, 2008, vol. 9, issue 4, No 1, 255-263

Abstract: Abstract This paper examines the role of stock market factors in stock returns using the generalised autoregressive conditional heteroskedastic model. We use a time series regression approach where monthly returns on stocks are regressed on the returns to a market portfolio of stocks and mimicking portfolios for size and book-to-market equity. Implications of conditional heteroskedasticity are then documented. We show that accounting for heteroskedasticity increases the evidence that risk-adjusted returns are strongly related to common risk factors.

Keywords: common risk factors; stock returns; GARCH model; market value; portfolio management; volatility (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1057/jam.2008.22 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:9:y:2008:i:4:d:10.1057_jam.2008.22

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/jam.2008.22

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().