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Dividende et beta: une estimation Garch

Author

Listed:
  • Atindehou, R.B.
  • Bernier, G.
  • Charest, G.
Abstract
Les auteurs reexaminent l'evolution des betas des firmes apres les variations inattendues de dividende regulier sur les marches boursiers americain et canadien. Les resultats indiquent que l'estimation des betas par le modele de marche avec une modelisation de l'heterovariance des erreurs permet de reveler un changement statistiquement significatif des betas apres les hausses et les baisses du dividende regulier americain.

Suggested Citation

  • Atindehou, R.B. & Bernier, G. & Charest, G., 1996. "Dividende et beta: une estimation Garch," Papers 96-42, Laval - Faculte des sciences de administration.
    • Handle: RePEc:fth:lavadm:96-42
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    More about this item

    Keywords

    MARCHE FINANCIER; MANAGEMENT;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G19 - Financial Economics - - General Financial Markets - - - Other

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