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

Hung, D. C-H. and Shackleton, M. and Xu, X. (2004) 'CAPM, higher co-moment and factor models of UK stock returns.', Journal of business finance & accounting., 31 (1-2). pp. 87-112.

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

Item Type:Article
Full text:Full text not available from this repository.
Publisher Web site:http://dx.doi.org/10.1111/j.0306-686X.2004.0003.x
Record Created:19 Aug 2008
Last Modified:19 Mar 2010 15:26

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