Advanced search
Publication Cover
Applied Economics Letters Volume 2, 1995 - Issue 10
Submit an article Journal homepage
19
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Heteroscedasticity and other misspecification issues in the market model

G. Karathanassis Athens University of Business and Economics, Athens, Greece
&
C. Patsos Athens University of Business and Economics, Athens, Greece
Pages 380-382 | Received 06 Mar 1995, Published online: 02 Nov 2006

References

  • Black , F. 1986 . Noise . Journal of Finance , 41 ( 3 ) : 529 – 43 .
  • Breusch , T. S. 1978 . Testing for autocorrelation in dynamic linear models . Australian Economic Papers , 17 : 334 – 55 .
  • De Bondt , W. F. M. and Thaler , R. 1985 . ‘Does the stock market overreact? . Journal of Finance , 40 : 793 – 808 .
  • Godfrey , L. G. 1978 . Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables . Econometrica , 46 : 1303 – 10 .
  • Granger , C. W. J. and Newbold , P. 1976 . Forecasting transformed series . Journal of the Royal Statistical Society , B38 : 189 – 203 .
  • Huang , R. and Jo , H. 1988 . Tests of market models: heteroscedasticity or mis-specification? . Journal of Banking and Finance , 12 : 439 – 55 .
  • Karathanassis , G. and Patsos , C. 1993 . Evidence of heteroscedasticity and misspecification issues in the market model: results from the Athens Stock Exchange . Applied Economics , 25 : 1423 – 38 .
  • Schwert , G. W. 1989 . Why does stock market volatility change over time? . Journal of Finance , XLIV
  • Sharpe , W. F. 1964 . Capital asset prices: a theory of market equilibrium under conditions of risk . Journal of Finance , 19 : 425 – 42 .
  • Shiller , R. J. 1981a . Do stock prices move too much to be justified by subsequent changes in dividends? . American Economic Review , 71 : 421 – 36 .
  • Shiller , R. J. 1981b . The use of volatility in assessing market efficiency . Journal of Finance , 36 : 291 – 304 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.