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

D.c-h., Hung; Shackleton, M.; Xu, X.

Authors

Hung D.c-h.

M. Shackleton

X. Xu



Abstract

In this paper we examine the variables that explain the crosssection of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However, we control for different realised risk premia in up and down markets by using the same methodology as Pettengill, Sundaram and Mathur (1995). Unlike previous work, we find that beta is highly significant in explaining the crosssection of UK stock returns and more importantly remains significant even when the Fama French factors are included in the crosssectional regressions. We also investigate whether higher comoments (coskewness and cokurtosis) have any explanatory power but find that empirical support is weaker

Citation

D.c-h., H., Shackleton, M., & Xu, X. (2004). CAPM, Higher co-moment and factor models of UK stock returns. Journal of Business Finance and Accounting, 31(1-2), 87-112. https://doi.org/10.1111/j.0306-686x.2004.0003.x

Journal Article Type Article
Publication Date Jan 1, 2004
Deposit Date Aug 19, 2008
Journal Journal of Business Finance and Accounting
Print ISSN 0306-686X
Electronic ISSN 1468-5957
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 31
Issue 1-2
Pages 87-112
DOI https://doi.org/10.1111/j.0306-686x.2004.0003.x
Public URL https://durham-repository.worktribe.com/output/1625483

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