Using the family of GARCH-M(p,q) models and U.K. data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalization is an important factor in the...

There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for...