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The book-to-market ratio and Schwert-Seguin type tests of volatility

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The book-to-market ratio and Schwert-Seguin type tests of volatility

Dimmock, Stephen G (2000) The book-to-market ratio and Schwert-Seguin type tests of volatility. Masters thesis, Concordia University.

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Abstract

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 variables missed by the static CAPM. Using the methodology developed in Schwert and Seguin (1990) this thesis directly tests the possibility that the BM is driven by changes in equity market volatility. This thesis does not find evidence to support the hypothesis that the BM effect is driven by changes in volatility.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Dimmock, Stephen G
Pagination:iii, 98 leaves ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.Sc.Admin.)
Program:John Molson School of Business
Date:2000
Thesis Supervisor(s):Tirtiroglu, Dogan
ID Code:1176
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:17
Last Modified:08 Dec 2010 10:19
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