Mean Variance Efficiency: Aggregate Shocks and Return Horizons

Patricia Fraser, N. Groenewold

    Research output: Contribution to journalArticlepeer-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 languageEnglish
    Pages (from-to)52-76
    Number of pages24
    JournalThe Manchester School
    Volume69
    Issue number1
    DOIs
    Publication statusPublished - 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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