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Price and momentum as robust tactical approaches to global equity investing

Ap Gwilym, Owain; Clare, Andrew D.; Seaton, James; … - In: The journal of investing 19 (2010) 3, pp. 80-91

Persistent link: https://www.econbiz.de/10009308464

UK stock returns and robust tests of mean variance efficiency

Clare, Andrew D. - In: Journal of banking & finance 21 (1997) 5, pp. 641-660

Persistent link: https://www.econbiz.de/10001222187

Macroeconomic shocks and the CAPM : evidence from the UK stockmarket

Clare, Andrew D.; O'Brien, Raymond J.; Thomas, Steve; … - In: International journal of finance & economics : IJFE 3 (1998) 2, pp. 111-126

Persistent link: https://www.econbiz.de/10001246063

Testing CAPM with a Large Number of Assets

Pesaran, M Hashem; Yamagata, Takashi - Department of Economics and Related Studies, University … - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. Two new tests of CAPM are proposed that exploit...

Persistent link: https://www.econbiz.de/10009493943