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NONSTATIONARITY OF BETA AND TESTS OF MARKET EFFICIENCY
Author(s) -
McDonald Bill,
Nichols William D.
Publication year - 1984
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1984.tb00383.x
Subject(s) - inefficiency , beta (programming language) , econometrics , robustness (evolution) , artifact (error) , economics , event (particle physics) , statistics , mathematics , computer science , microeconomics , physics , computer vision , biochemistry , chemistry , quantum mechanics , gene , programming language
Abstract Conclusions from event type studies are usually supported by data generated from some form of the market model. This study examines the robustness of these conclusions to different static and dynamic estimates of beta when the event under investigation occurs during a period of changing systematic risk. The results indicate that when beta is nonstationary, the findings of market inefficiency (or efficiency) in previous studies may be an artifact of the static beta estimation method.