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CAPM, higher co-moment and factor models of UK stock returns

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<mark>Journal publication date</mark>2004
<mark>Journal</mark>Journal of Business Finance and Accounting
Issue number1-2
Volume31
Number of pages26
Pages (from-to)87-112
Publication statusPublished
Original languageEnglish

Abstract

Many empirical papers (for the UK included) have found that the CAPM is only moderately significant once exposed to Fama French factors. This is to say that once time series regressions are used to compute betas, in cross-sectional regressions these betas produce average slope coefficients (market risk premia) Portfolio Beta, Market Value and Mean Monthly Returns of B/M Ratio Sorts that are insignificant. In contrast, Fama French factors remain highly significant in explaining the cross- section of stock returns.