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

Robert Faff and Robert 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: C81 G12 G13 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1996
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Citations: View citations in EconPapers (2)

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

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