The Single Factor market Model is an important tool in contemporary research in finance. The assumption of parametric stability is usually invoked to facilitate statistical estimation of the model. Much of the importance of the model follows from its "beta" parameter which, ideally, measures the sensitivity of returns on a security to changes in a market factor. While stability of this parameter is desirable, this property is neither required nor expected from financial theory. Instances of nonstationarity are commonly observed. The objective of this thesis is to address, theoretically and empirically, the nature and causes of potential instability. To this end, analytical models are derived for the beta parameter. These models predict that the intertemporal behaviour of parametric estimates is characterized by information-related structural shifts and seemingly random perturbations. These predictions are given empirical support. Structural shifts are observed in conjunction with pre-selected information flows; a random component of the beta parameter is identified. The implications of these findings are considered.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.68704 |
| Date | January 1982 |
| Creators | Riding, Allan Lance. |
| Publisher | McGill University |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Format | application/pdf |
| Coverage | Doctor of Philosophy (Faculty of Management.) |
| Rights | All items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated. |
| Relation | alephsysno: 000158668, proquestno: AAINK64510, Theses scanned by UMI/ProQuest. |
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