Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application |
| |
| Institution: | 1. University of Central Punjab (Faisalabad Campus), 1 - Khayaban-e-Jinnah Road, Johar Town, Lahore, Pakistan;2. Montpellier Business School 2300 avenue des moulins 34000 Montpellier, France;3. COMSATS Institute of Information Technology, 1.5 KM off Raiwind Rd, Near Labors Colony Defence Rd, Defence Road, Lahore 54000, Pakistan;1. Department of Economics, Erasmus University Rotterdam, P.O. Box 1738, 3000DR, The Netherlands;2. Economics and Research Division, De Nederlandsche Bank, P.O. Box 98, 1000AB, The Netherlands |
| |
| Abstract: | The analysis of Fama and French (1993), is broadened to include time varying risk. This is achieved by an MGARCH-m application which extends the approach taken by Bollerslev et al. (1988) to a multiple index context. Appropriate weightings of the conditional cross-moments of returns on portfolios that make-up factor proxies are modelled as MGARCH. The mean equation of the model is designed to determine whether proxied sources of time-varying non-diversifiable risk can explain movements in excess returns on various types of portfolios. Time-variation in conditional excess return appears only to have a significant relation with time-varying conditional variance associated with a book-to-market factor. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
