Asset pricing dynamics

Raphael Markellos and Terence Mills

The European Journal of Finance, 2003, vol. 9, issue 6, 533-556

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.

Keywords: Capital Asset Pricing Model; time series; econometrics; UK market model (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1080/1351847032000082547

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