## Abstract We analyse the ability of the conditional asset pricing models to explain the cross‐sectional variation in UK stock returns. We examine conditional versions of the Sharpe‐Linter CAPM and the Fama‐French three‐factor model. The results indicate that the conditional single‐factor model is
✦ LIBER ✦
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
✍ Scribed by Robert F. Dittmar
- Book ID
- 110693083
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 406 KB
- Volume
- 57
- Category
- Article
- ISSN
- 0022-1082
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