An Examination of Alternative Factor Models in UK Stock Returns.
This paper examines the mean-variance efficiency of a number of factor models in UK stock returns. The paper also explores, using the approach of MacKinlay (1995), whether missing risk factors or nonrisk-based explanations best explain the pricing errors of the different factor models. The evidence in the paper suggests that the mean-variance efficiency of each factor model is rejected and missing risk factors are unable to explain the pricing errors of any of the models. Some nonrisk-based explanations, which posit a wide spread in abnormal returns, may be a more plausible source of explaining the pricing errors of the factor models. Copyright 2001 by Kluwer Academic Publishers
Year of publication: |
2001
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Authors: | Fletcher, Jonathan |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 16.2001, 2, p. 117-30
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Publisher: |
Springer |
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