Access the full text.
Sign up today, get DeepDyve free for 14 days.
A. Harel, Giora Harpaz, J. Francis (2011)
Analysis of efficient marketsReview of Quantitative Finance and Accounting, 36
David Lesmond, Michael Schill, Chunsheng Zhou (2004)
The Illusory Nature of Momentum ProfitsAFA 2002 Atlanta Meetings (Archive)
Raul Susmel, R. Engle (1994)
Hourly volatility spillovers between international equity marketsJournal of International Money and Finance, 13
H. Shin (2009)
Reflections on Northern Rock: The Bank Run That Heralded the Global Financial CrisisJournal of Economic Perspectives, 23
E. Fama, K. French (1993)
Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 33
(1993)
Restructuring through spinoffs
(1986)
The persistence of volatility and stock market fluctuations
L. Hansen, ScoTr Richard (1987)
THE ROLE OF CONDITIONING INFORMATION IN DEDUCING TESTABLE RESTRICTIONS IMPLIED BY DYNAMIC ASSET PRICING MODELS1Econometrica, 55
Harry Markowitz (1971)
Portfolio Selection
RS Pindyck (1984)
Risk, inflation, and the stock marketAm Econ Rev, 74
Andrew Christie (1982)
The stochastic behavior of common stock variances: value
SM Bartram, GM Bodnar (2009)
No place to hide: the global crisis in equity markets in 2008/2009J Int Money Financ, 28
R. Engle, Kenneth Kroner (1995)
Multivariate Simultaneous Generalized ARCHEconometric Theory, 11
GW Schwert (1989)
Why does stock market volatility change over timeJ Financ, 44
Sanford Grossman (1980)
On the Impossibility of Informationally Efficient MarketsERN: Efficient Market Hypothesis Models (Topic)
Richard Roll (1986)
The Hubris Hypothesis of Corporate TakeoversThe Journal of Business, 59
Terry Marsh, P. Pfleiderer (2012)
"Black Swans" and the Financial CrisisReview of Pacific Basin Financial Markets and Policies, 15
J. Muth (1961)
Rational Expectations and the Theory of Price MovementsEconometrica, 29
Andrea Frazzini (2006)
The Disposition E ff ect and Underreaction to News
W. Bondt, R. Thaler (1989)
Anomalies: A Mean-Reverting Walk Down Wall StreetJournal of Economic Perspectives, 3
E. Fama (1997)
Market Efficiency, Long-Term Returns, and Behavioral FinanceChicago Booth: Fama-Miller Working Paper Series
Journal of Economic Perspectives—Volume 17, Number 1—Winter 2003—Pages 59 – 82 The Ef � cient Market Hypothesis and Its Critics
Bala Dharan, D. Ikenberry (1995)
The Long‐Run Negative Drift of Post‐Listing Stock ReturnsJournal of Finance, 50
G. Schwert (1988)
Why Does Stock Market Volatility Change Over Time?NBER Working Paper Series
GB Malkiel (2003)
The efficient market hypothesis and Its criticsJ Econ Perspect, 17
P. Asquith (1983)
Merger bids, uncertainty, and stockholder returns☆Journal of Financial Economics, 11
Steven Kamin, L. Demarco (2010)
How did a Domestic Housing Slump Turn into a Global Financial Crisis?International Finance eJournal
Söhnke Bartram, Gordon Bodnar (2009)
No Place to Hide: The Global Crisis in Equity Markets in 2008/09History of Finance eJournal
Keith Black (2002)
Testing Trade-Off and Pecking Order Predictions about Dividends and Debt
E. Thomas, J. Helliwell (2000)
The Long Term Performance of Initial Public Offerings
D. Ikenberry, Josef Lakonishok (1993)
Corporate Governance through the Proxy Contest: Evidence and ImplicationsThe Journal of Business, 66
J Campbell, L Hentschel (1992)
No news is good news: an asymmetric model of changing volatility in stock returnJ Financ Econ, 31
Taufiq Choudhry, Ranadeva Jayasekera (2012)
Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011International Review of Financial Analysis, 25
C. Granger, A. Timmermann (2002)
Efficient Market Hypothesis and ForecastingEconometrics eJournal
A Timmermann, CWJ Granger (2004)
Efficient market hypothesis and forecastingInt J Forecast, 20
Phillip Braun, Daniel Nelson, Alain Sunier (1995)
Good News, Bad News, Volatility, and BetasJournal of Finance, 50
(1997)
Long-run common stock returns following splits and reverse splits
Taufiq Choudhry (2002)
The Stochastic Structure of the Time-Varying Beta: Evidence from UK CompaniesWiley-Blackwell: Manchester School
Roni Michaely, R. Thaler, Kent Womack (1994)
Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?Corporate Finance: Capital Structure & Payout Policies
Daniel Nelson (1991)
CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACHEconometrica, 59
T. Bollerslev, R. Engle, J. Wooldridge (1988)
A Capital Asset Pricing Model with Time-Varying CovariancesJournal of Political Economy, 96
G. Dwyer, J. Lothian (2012)
International and historical dimensions of the financial crisis of 2007 and 2008Journal of International Money and Finance, 31
(1992)
ARCH modeling in finance
Chris Brooks, Ó. Henry (2002)
The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock MarketCapital Markets: Market Efficiency
J. Lintner (1965)
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETSThe Review of Economics and Statistics, 47
(1990)
Asset pricing with a factor-ARCH structure: empirical estimates for treasury bills
J. Lewellen (2014)
The Cross Section of Expected Stock ReturnsHousehold Finance eJournal
R. Ball, S. Kothari (1989)
Nonstationary expected returns: Implications for tests of market efficiency and serial correlation in returnsJournal of Financial Economics, 25
Tim Loughran, J. Ritter (1995)
The New Issues PuzzleJournal of Finance, 50
D Ikenberry, J Lakonishok, T Vermaelen (1995)
Market underreaction to open market share repurchasesJ Financ Econ, 39
Anup Agrawal, J. Jaffe, G. Mandelker (1992)
The Post-Merger Performance of Acquiring Firms: A Re-examination of an AnomalyJournal of Finance, 47
Kalok Chan (1988)
On the Contrarian Investment StrategyThe Journal of Business, 61
E Fama, K French (1998)
Value versus growth: the international evidenceJ Financ, 53
(2013)
The aftermath of the subprime crisis: a clustering analysis of the world banking
(1998)
US DOE oil price forecasts
R. Ball, P. Brown (1968)
An empirical evaluation of accounting income numbersJournal of Accounting Research, 6
C Brooks, O Henry (2002)
The impact of news on measures of undiversifiable risk: evidence from the UK stock marketOxf Bull Econ Stat, 64
D. Ikenberry, Josef Lakonishok, Theo Vermaelen (1994)
Market Underreaction to Open Market Share RepurchasesCapital Markets: Market Efficiency
Young-Hye Cho, R. Engle (1999)
Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip StocksFEN: Behavioral Finance (Topic)
K. Giannopoulos (1995)
Estimating the time Varying Components of international stock markets' riskEuropean Journal of Finance, 1
E Fama, K French (1992)
The cross-section of expected stock returnsJ Financ, 47
SB Kamin, LP DeMarco (2012)
How did a domestic housing slump turn into a global financial crisis?J Int Money Financ, 31
D. Ikenberry, Graeme Rankine, E. Stice (1996)
What Do Stock Splits Really Signal?Journal of Financial and Quantitative Analysis, 31
R. Pindyck (1983)
Risk, Inflation, and the Stock MarketCapital Markets: Asset Pricing & Valuation
P. Veronesi (1999)
Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium ModelReview of Financial Studies, 12
J. Campbell, Ludger Hentschel (1991)
No News is Good News: An Asymmetric Model of Changing Volatility in Stock ReturnsEconometrics eJournal
W. Sharpe (1964)
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*Journal of Finance, 19
D. Spiess, J. Affleck-Graves (1995)
Underperformance in long-run stock returns following seasoned equity offeringsJournal of Financial Economics, 38
K. French, G. Schwert, R. Stambaugh (1987)
Expected stock returns and volatilityJournal of Financial Economics, 19
R Michaely, R Thaler, K Womack (1995)
Price reactions to dividend initiations and omissionsJ Financ, 50
Narasimhan Jegadeesh, S. Titman (1993)
Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyJournal of Finance, 48
(2009)
The Financial Crisis of 2008 in Fixed Income MarketsBanking & Insurance eJournal
James Bodurtha, Nelson Mark (1991)
Testing the CAPM with Time-Varying Risks and ReturnsJournal of Finance, 46
Robert Klemkosky, John Martin (1975)
The Adjustment of Beta ForecastsJournal of Finance, 30
GP Dwyer, P Tkac (2009)
The financial crisis of 2008 in fixed-income marketsJ Int Money Financ, 28
E. Fama (1970)
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*Journal of Finance, 25
KR French, GW Schwert, RF Stambaugh (1987)
Expected stock returns and volatilityJ Polit Econ, 99
A. Sentance, Mark Taylor, Tomasz Wieladek (2012)
How the UK economy weathered the financial stormJournal of International Money and Finance, 31
V. Bernard, Jacob Thomas (1990)
Evidence that stock prices do not fully reflect the implications of current earnings for future earningsJournal of Accounting and Economics, 13
Eugene Fama (2007)
Efficient Capital Markets : II
(1992)
Measuring abnormal returns: do stocks overreact
A Christie (1982)
The Stochastic behavior of common stock variances: value, leverage and interest rate effectsJ Financ Econ, 10
Josef Lakonishok, Theo Vermaelen (1990)
Anomalous Price Behavior Around Repurchase Tender OffersJournal of Finance, 45
E Fama (1998)
Market efficiency, long term returns, and behavioral financeJ Financ Econ, 49
E. Fama, K. French (1997)
Value Versus Growth: The International EvidenceChicago Booth: Fama-Miller Working Paper Series
J. Lintner (1969)
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A ReplyThe Review of Economics and Statistics, 51
This paper investigates the effect of good or bad news (the asymmetric effect) on the time-varying beta of firms in the UK during good periods (booms) and bad periods (recessions). Daily data from twenty five UK firms of different sizes and from different industries are applied in the empirical tests. The data ranges from 2004 to 2010, which includes the current global financial crisis. The time-varying betas are created by means of the bivariate BEKK GARCH model, and then linear regressions are applied to test for the asymmetric effect of news on the beta. The asymmetric effects are investigated based on both market and non-market shocks. Most firms and industries seem to support the market efficiency hypothesis during both periods. However, the level of market efficiency seems to decline significantly from the pre-crisis to crisis period. Both the results of market efficiency and declining market efficiency from the pre-crisis to crisis periods provide ample evidence of the asymmetric effect of the financial crisis on the beta of UK firms.
Review of Quantitative Finance and Accounting – Springer Journals
Published: Sep 20, 2013
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.