The book-to-market ratio and Schwert-Seguin type tests of volatility
This thesis integrates 2 areas of financial research; research on the book-to-market (BM) anomaly and research on time-varying capital asset pricing models (CAPM). Fama and French (1992) introduced the BM anomaly to the academic literature and suggested that it might be driven by changes in economic...
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| Format: | Others |
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2000
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| Online Access: | http://spectrum.library.concordia.ca/1176/1/MQ54300.pdf Dimmock, Stephen G <http://spectrum.library.concordia.ca/view/creators/Dimmock=3AStephen_G=3A=3A.html> (2000) The book-to-market ratio and Schwert-Seguin type tests of volatility. Masters thesis, Concordia University. |