Darrat, Ali F.; Li, Bin; Benkato, Omar - In: International Journal of Business and Economics 10 (2011) 1, pp. 27-43
We explore the intertemporal relation between the conditional mean and the conditional variance of industry portfolio returns and the Fama-French 25 size/book-to-market portfolio returns using data from Australia. We estimate the portfolio conditional covariance with the market and test whether...