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https://hdl.handle.net/1959.11/13699
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DC Field | Value | Language |
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dc.contributor.author | Bollen, Bernard | en |
dc.date.accessioned | 2013-11-21T12:36:00Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Applied Financial Economics, 20(15), p. 1231-1240 | en |
dc.identifier.issn | 1466-4305 | en |
dc.identifier.issn | 0960-3107 | en |
dc.identifier.uri | https://hdl.handle.net/1959.11/13699 | - |
dc.description.abstract | The relation between market risk and asset returns can be modelled with the Security Market Line (SML), a positive linear relation between expected excess asset returns and the asset's β. Pettengill et al. (1995) make the case that tests of β must be conditioned upon excess market returns to obtain meaningful results. This study proceeds from and extends the work of Pettengill et al. (1995), and in the process introduces the notion of the Security Market Plane (SMP). The SMP is a conditional relation between expected excess asset returns β,and realized excess market returns and is derived directly from the market model. Econometric testing on equities traded at the Australian Securities Exchange (ASX) based on a model motivated by the SMP offers strong evidence of the relevance of β to asset returns. The analysis does not reject the hypothesis that factors other than the market portfolio may be relevant to excess portfolio returns. | en |
dc.language | en | en |
dc.publisher | Routledge | en |
dc.relation.ispartof | Applied Financial Economics | en |
dc.title | The security market plane | en |
dc.type | Journal Article | en |
dc.identifier.doi | 10.1080/09603101003781448 | en |
dc.subject.keywords | Applied Economics | en |
local.contributor.firstname | Bernard | en |
local.subject.for2008 | 140299 Applied Economics not elsewhere classified | en |
local.subject.seo2008 | 910206 Market-Based Mechanisms | en |
local.profile.school | Marketing and Management | en |
local.profile.email | bbollen@une.edu.au | en |
local.output.category | C1 | en |
local.record.place | au | en |
local.record.institution | University of New England | en |
local.identifier.epublicationsrecord | une-20131018-125855 | en |
local.publisher.place | United Kingdom | en |
local.format.startpage | 1231 | en |
local.format.endpage | 1240 | en |
local.identifier.scopusid | 77954735977 | en |
local.peerreviewed | Yes | en |
local.identifier.volume | 20 | en |
local.identifier.issue | 15 | en |
local.contributor.lastname | Bollen | en |
dc.identifier.staff | une-id:bbollen | en |
local.profile.role | author | en |
local.identifier.unepublicationid | une:13911 | en |
dc.identifier.academiclevel | Academic | en |
local.title.maintitle | The security market plane | en |
local.output.categorydescription | C1 Refereed Article in a Scholarly Journal | en |
local.search.author | Bollen, Bernard | en |
local.uneassociation | Unknown | en |
local.year.published | 2010 | en |
Appears in Collections: | Journal Article |
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