Mean Variance Efficiency: Aggregate Shocks and Return Horizons

Patricia Fraser; N. Groenewold

doi:10.1111/1467-9957.00235

Mean Variance Efficiency: Aggregate Shocks and Return Horizons

Patricia Fraser, N. Groenewold

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

Abstract

Using monthly, semi-annual and annual sampling frequencies from February 1974 to June 1996, we reject the mean-variance efficiency of the Australian stock market while supporting the view that conditional variances are not constant in time. Results indicate that unexpected movements in key aggregate factors have added value in explaining industrial sector conditional volatility, particularly at horizons of six months and greater.

Original language	English
Pages (from-to)	52-76
Number of pages	24
Journal	The Manchester School
Volume	69
Issue number	1
DOIs	https://doi.org/10.1111/1467-9957.00235
Publication status	Published - Jan 2001

Keywords

ASSET-PRICING MODEL
TIME-VARYING COVARIANCES
DISCOUNT HOUSE PORTFOLIO
INTERNATIONAL CAPM
MULTIVARIATE TESTS
STOCK RETURNS
SENSITIVITY
SELECTION
EXCHANGE
INTERVAL

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10.1111/1467-9957.00235

Cite this

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KW - TIME-VARYING COVARIANCES

KW - DISCOUNT HOUSE PORTFOLIO

KW - INTERNATIONAL CAPM

KW - MULTIVARIATE TESTS

KW - STOCK RETURNS

KW - SENSITIVITY

KW - SELECTION

KW - EXCHANGE

KW - INTERVAL

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Mean Variance Efficiency: Aggregate Shocks and Return Horizons

Abstract

Keywords

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