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Additional Evidence of Heteroscedasticity in the Market Model

Published online by Cambridge University Press:  06 April 2009

Roger P. Bey  and
George E. Pinches
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Extract

Sharpe's market model [29] is widely used both by academic researchers and practitioners in finance, but it cannot be accepted with complete confidence until some of its basic assumptions are tested more thoroughly. The applicability, usefulness, and reliability of the model are functions of its conformity to real data, which in turn depends partly on the unresolved question of heteroscedasticity.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 2 , June 1980 , pp. 299 - 322
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

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