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.
Original language | English |
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Pages (from-to) | 533-556 |
Number of pages | 24 |
Journal | The European Journal of Finance |
Volume | 9 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Dec 2003 |
Keywords
- Capital Asset Pricing Model
- Econometrics
- Time series
- UK market model