Heteroscedasticity, R2 and Thin Trading on the Toronto Stock Exchange
Data up to Jan 2025
Total Citations Per Year
Abstract
References (26)
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
1964 • 15,720 citations
Risk, Return, and Equilibrium: Empirical Tests
1973 • 14,580 citations
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…
1975 • 7,346 citations
Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk
1964 • 7,201 citations
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1965 • 7,112 citations
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The Adjustment of Stock Prices to New Information
1969 • 3,289 citations
The Adjustment of Stock Prices to New Information
2003 • 3,268 citations
Estimating betas from nonsynchronous data
1977 • 2,887 citations
Risk measurement when shares are subject to infrequent trading
1979 • 2,767 citations
A Simplified Model for Portfolio Analysis
1963 • 2,673 citations
The Advanced Theory of Statistics.
1968 • 1,584 citations
Some Tests for Homoscedasticity
1965 • 661 citations
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1971 • 576 citations
BETAS AND THEIR REGRESSION TENDENCIES
1975 • 538 citations
The Market Model Applied to European Common Stocks: Some Empirical Results
1974 • 101 citations
ON THE ASSESSMENT OF RISK: SOME FURTHER CONSIDERATIONS
1974 • 101 citations
AUSTRALIAN SHARE PRICES AND THE RANDOM WALK HYPOTHESIS
1969 • 74 citations
A SIMPLE MODEL OF NON‐STATIONARITY OF SYSTEMATIC RISK
1977 • 61 citations
Evidence of Heteroscedasticity in the Market Model
1975 • 35 citations
Heteroscedasticity in the Market Model: A Comment
1977 • 31 citations
The Time-Variance Relationship: Evidence on Autocorrelation in Common Stock Returns
1977 • 31 citations
CANADIAN EVIDENCE OF HETEROSCEDASTICITY IN THE MARKET MODEL
1977 • 29 citations
A Simple Model of Non-Stationarity of Systematic Risk
1977 • 25 citations
ECONOMIC STATISTICS AND ECONOMETRICS
1968 • 24 citations
Capital asset pricing theory : the Canadian experience
1976 • 5 citations