Similar Search Results

Heteroskedasticity in stock returns

Schwert, George William; Seguin, Paul John - 1989

Persistent link: https://www.econbiz.de/10000765828

Heteroskedasticity in stock returns

Schwert, George William - In: The journal of finance : the journal of the American … 45 (1990) 4, pp. 1129-1155

Persistent link: https://www.econbiz.de/10001098069

Securities transaction taxes : an overview of costs, benefits and unresolved questions

Schwert, George William - In: Financial analysts' journal : FAJ 49 (1993) 5, pp. 27-35

Persistent link: https://www.econbiz.de/10001157556

An overview of costs, benefits and unresolved questions

Schwert, George William; Seguin, Paul John - 1993

Persistent link: https://www.econbiz.de/10000998614

Heteroskedasticity in Stock Returns

Schwert, G. William - 1989

We use predictions of aggregate stock return variances from daily data to estimate time varying monthly variances for size-ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time-varying betas. Implications of...

Persistent link: https://www.econbiz.de/10012476092