Testing index-based models in U.K. stock returns

Author:

Davies J. Richard,Fletcher Jonathan,Marshall Andrew

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Reference71 articles.

1. Al-Horani A, Pope PF, Stark AW (2003) Research and development activity and expected returns in the United Kingdom. Eur Financ Rev 7:27–46

2. Ang A, Liu J, Schwarz K (2010) Using stocks or portfolios in tests of factor models. Working Paper, Columbia University

3. Antoniou A, Garrett I, Priestley R (1998) Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory. J Empir Financ 5:221–240

4. Bekaert G, Hodrick RJ, Zhang X (2009) International stock return comovements. J Financ 64:2591–2626

5. Black F, Jensen MC, Scholes M (1972) The capital asset pricing model: some empirical findings. In: Jensen MC (ed) Studies in the theory of capital markets. Praeger, New York

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