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The Cross-Section of Stock Returns on The Shanghai Stock Exchange

✍ Scribed by Kie Ann Wong; Ruth Seow Kuan Tan; Wei Liu


Publisher
Springer US
Year
2006
Tongue
English
Weight
165 KB
Volume
26
Category
Article
ISSN
0924-865X

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## 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