𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns

✍ Scribed by Stuart Hyde; Mohamed Sherif

Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
145 KB
Volume
15
Category
Article
ISSN
1076-9307

No coin nor oath required. For personal study only.

✦ Synopsis

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 rejected in all instances. However, there is evidence supportive of the three‐factor model. A specification of this model that allows for time variation in conditional covariances, conditionally expected returns and the conditional variance of the market cannot be rejected. Copyright © 2009 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

The information content in implied idios
The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets
✍ Dean Diavatopoulos; James S. Doran; David R. Peterson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and

Month of the year effect and January eff
Month of the year effect and January effect in pre-WWI stock returns: evidence from a non-linear GARCH model
✍ Taufiq Choudhry 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 101 KB

## Abstract This paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐__t__ model, an