TESTS OF THE CONDITIONAL ASSET PRICING MODEL: FURTHER EVIDENCE FROM THE CROSS-SECTION OF STOCK RETURNS

被引：7

作者：

Hyde, Stuart ^{[2
]}

Sherif, Mohamed ^{[1
]}

机构：

[1] Heriot Watt Univ, Sch Management & Languages, Dept Accountancy Econ & Finance Riccarton, Edinburgh EH14 4AS, Midlothian, Scotland

[2] Univ Manchester, Manchester Business Sch, Manchester M13 9PL, Lancs, England

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2010年 / 15卷 / 02期

关键词：

Reward-to-risk ratio; conditional asset pricing models; stock returns; size; value; VALUE PREMIUM; RISK; MARKET; EQUILIBRIUM; PORTFOLIOS; VARIABLES; BONDS; CAPM;

D O I：

10.1002/ijfe.400

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 (c) 2009 John Wiley & Sons, Ltd.

引用

页码：198 / 211

页数：14

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