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UK EXCESS SHARE RETURNS: FIRM SIZE AND VOLATILITY
Author(s) -
Fraser Patricia
Publication year - 1996
Publication title -
scottish journal of political economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.4
H-Index - 46
eISSN - 1467-9485
pISSN - 0036-9292
DOI - 10.1111/j.1467-9485.1996.tb00839.x
Subject(s) - volatility (finance) , economics , portfolio , financial economics , autoregressive conditional heteroskedasticity , econometrics , market portfolio , market risk , excess return , systematic risk , rate of return on a portfolio , risk–return spectrum , market capitalization , monetary economics , modern portfolio theory , stock market , paleontology , context (archaeology) , horse , biology
A bstract Using the family of GARCH‐M(p, q) models and UK data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalisation is an important factor in the analysis of risk‐return relationships. The evidence reported supports the view that, although both portfolios appear to be driven by the persistence of volatility shocks, there exist significant differences in risk‐return behaviour.