CAPM, higher co-moment and factor models of UK stock returns

Hung, Daniel Chi Hsiou and Shackleton, Mark and Xu, Xinzhong (2004) CAPM, higher co-moment and factor models of UK stock returns. Journal of Business Finance and Accounting, 31 (1-2). pp. 87-112. ISSN 1468-5957

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Abstract

Many empirical papers (for the UK included) have found that the CAPM is only moderately significant once exposed to Fama French factors. This is to say that once time series regressions are used to compute betas, in cross-sectional regressions these betas produce average slope coefficients (market risk premia) Portfolio Beta, Market Value and Mean Monthly Returns of B/M Ratio Sorts that are insignificant. In contrast, Fama French factors remain highly significant in explaining the cross- section of stock returns.

Item Type: Journal Article
Journal or Publication Title: Journal of Business Finance and Accounting
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 43836
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 18:05
Refereed?: Yes
Published?: Published
Last Modified: 14 Aug 2019 04:19
URI: https://eprints.lancs.ac.uk/id/eprint/43836

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