The objective of this paper is to perform various tests of structural change within the context of factor analysis and determine how robust the results of such tests are to; the security selection criteria in constructing portfolios, portfolio size, and methods of factor extraction. The question...

Ever since the Arbitrage Pricing Theory (APT) was developed by Ross, it has been empirically tested in many countries in studying the behaviour of Stock Market returns. The statistical technique of factor analysis is used in the testing of the APT. The objective of this paper is to determine how...

This study tests conditional and unconditional versions of the CAPM using portfolios made up of security returns in the UK over the period January 1980-December 1999. The main objectives are to see if the GARCH betas differ from the unconditional betas, and to see if the market risk premium is...

The predictability of security prices and the ability to develop profitable trading strategies is of great interest in the financial world. This paper examines momentum profits over the period January 1980 to December 2010 in the UK stock market, and attempts to explain whether such profits can...

This paper investigates the integration between the capital markets of 15 European countries, all of which are members of the European Union. Integration is tested under the joint hypothesis of a European multifactor asset pricing model. A European portfolio is constructed from which common...

This paper examines the role of beta in explaining security returns in the UK stock market over the period of 1980-2006. The conditional relationship between beta and returns is examined. Conditional covariances and variances used to estimate beta are modeled as an ARCH/GARCH process, and once...

This article examines whether the capital markets of the G7 countries are integrated. Capital market integration is examined under the joint hypothesis of an international multifactor asset pricing model. International factors are extracted from a world portfolio using both maximum likelihood...