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

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CAPM, higher co-moment and factor models of UK stock returns. / Hung, Daniel Chi Hsiou; Shackleton, Mark; Xu, Xinzhong.
In: Journal of Business Finance and Accounting, Vol. 31, No. 1-2, 2004, p. 87-112.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Hung, DCH, Shackleton, M & Xu, X 2004, 'CAPM, higher co-moment and factor models of UK stock returns', Journal of Business Finance and Accounting, vol. 31, no. 1-2, pp. 87-112. https://doi.org/10.1111/j.0306-686X.2004.0003.x

APA

Hung, D. C. H., Shackleton, M., & Xu, X. (2004). CAPM, higher co-moment and factor models of UK stock returns. Journal of Business Finance and Accounting, 31(1-2), 87-112. https://doi.org/10.1111/j.0306-686X.2004.0003.x

Vancouver

Hung DCH, Shackleton M, Xu X. CAPM, higher co-moment and factor models of UK stock returns. Journal of Business Finance and Accounting. 2004;31(1-2):87-112. doi: 10.1111/j.0306-686X.2004.0003.x

Author

Hung, Daniel Chi Hsiou ; Shackleton, Mark ; Xu, Xinzhong. / CAPM, higher co-moment and factor models of UK stock returns. In: Journal of Business Finance and Accounting. 2004 ; Vol. 31, No. 1-2. pp. 87-112.

Bibtex

@article{9a89f9cbce8e400f816d7db5339715e2,
title = "CAPM, higher co-moment and factor models of UK stock returns",
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.",
author = "Hung, {Daniel Chi Hsiou} and Mark Shackleton and Xinzhong Xu",
year = "2004",
doi = "10.1111/j.0306-686X.2004.0003.x",
language = "English",
volume = "31",
pages = "87--112",
journal = "Journal of Business Finance and Accounting",
issn = "1468-5957",
publisher = "Wiley-Blackwell",
number = "1-2",

}

RIS

TY - JOUR

T1 - CAPM, higher co-moment and factor models of UK stock returns

AU - Hung, Daniel Chi Hsiou

AU - Shackleton, Mark

AU - Xu, Xinzhong

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

U2 - 10.1111/j.0306-686X.2004.0003.x

DO - 10.1111/j.0306-686X.2004.0003.x

M3 - Journal article

VL - 31

SP - 87

EP - 112

JO - Journal of Business Finance and Accounting

JF - Journal of Business Finance and Accounting

SN - 1468-5957

IS - 1-2

ER -