Using daily settlement prices for a range of real and ยฎnancial futures over the period 6 April 1981ยฑ31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the efยฎciency of the markets within which the prices of the assets are de
โฆ LIBER โฆ
SOME FURTHER EVIDENCE ON THE PREDICTABILITY OF UK ASSET PRICES
โ Scribed by J. D. Byers; D. A. Peel
- Book ID
- 110981073
- Publisher
- John Wiley and Sons
- Year
- 1985
- Tongue
- English
- Weight
- 412 KB
- Volume
- 37
- Category
- Article
- ISSN
- 0307-3378
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## 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
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