## Abstract We analyse the ability of the conditional asset pricing models to explain the crossโsectional variation in UK stock returns. We examine conditional versions of the SharpeโLinter CAPM and the FamaโFrench threeโfactor model. The results indicate that the conditional singleโfactor model is
โฆ LIBER โฆ
Examination of Conditional Asset Pricing in UK Stock Returns
โ Scribed by Jonathan Fletcher
- Book ID
- 108507562
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 271 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0732-8516
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## Abstract We provide evidence on the nature of coโmovement in monthly US and UK stock returns by investigating timeโvarying correlations in returns since 1980. There is a marked increase in correlations between these markets around 2000, which we attribute to globalization and model with a timeโv