Mean-variance efficiency, aggregate shocks and return horizons

Authors
Fraser, P Groenewold, N
Citation
P. Fraser et N. Groenewold, Mean-variance efficiency, aggregate shocks and return horizons, MANCH SCH, 69(1), 2001, pp. 52-76
Citations number
44
Categorie Soggetti
Economics
Journal title
MANCHESTER SCHOOL
ISSN journal
14636786 → ACNP
Volume
69
Issue
1
Year of publication
2001
Pages
52 - 76
Database
ISI
SICI code
1463-6786(200101)69:1<52:MEASAR>2.0.ZU;2-5
Abstract
Using monthly, semi-annual and annual sampling frequencies from February 19 74 to June 1996, we reject the mean-variance efficiency of the Australian s tock market while supporting the view that conditional variances are not co nstant in time. Results indicate that unexpected movements in key aggregate factors have added value in explaining industrial sector conditional volat ility, particularly at horizons of six months and greater.