In this paper we investigate whether the empirical regularities of stock returns are independent of each other or whether any one of them implies all the others. If such a regularity exists, it is called 'fundamental' and is usually thought of as a 'deductive explanation' of the others. We...

Statistical models are usually thought of as means for describing statistical regularities. Concerning stock returns, many empirical regularities have been documented in the literature together with their corresponding models. The main task of this paper is to investigate, under the prism of the...

The Single Factor Model (SFMT) of stock returns in its simplest form, namely the one that assumes time-invariant beta and homoskedastic error has been found to be empirically inadequate.The beta coefficient and the error process exhibit signi��cant time-variation and dynamic...

This paper investigates the implications of time-varying betas in factor models for stock returns. It is shown that a single-factor model (SFMT) with autoregressive betas and homoscedastic errors (SFMT-AR) is capable of reproducing the most important stylized facts of stock returns. An empirical...

The purpose of this paper is twofold: first, to survey the statistical models of stock returns that have been suggested in the finance literature since the middle of the twentieth century; second, to examine under the prism of the contemporary philosophy of science, which of the aforementioned...

The purpose of this paper is twofold: ?rst, to survey the statistical models of stock returns that have been suggested in the ?nance literature since the beginning of the twentieth century; second, to examine under the prism of the contemporary philosophy of science, which of the aforementioned...