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An examination of alternative CAPM-based models in UK stock returns

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  • Fletcher, Jonathan
  • Kihanda, Joseph
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 29 (2005)
    Issue (Month): 12 (December)
    Pages: 2995-3014

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    Handle: RePEc:eee:jbfina:v:29:y:2005:i:12:p:2995-3014

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    7. Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 57(1), pages 369-403, 02.
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    Cited by:
    1. Pasaribu, Rowland Bismark Fernando, 2010. "Pemilihan Model Asset Pricing
      [Asset pricing model selection: Indonesian Stock Exchange]
      ," MPRA Paper 36978, University Library of Munich, Germany.
    2. Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two-pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 29(2), pages 89-104, June.
    3. Stuart Hyde & Mohamed Sherif, 2010. "Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(2), pages 198-211.
    4. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(5), pages 897-918, September.
    5. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(2), pages 355-370.
    6. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    7. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers, Business School - Economics, University of Glasgow 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
    8. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3335-3350.
    9. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis‌, . "Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis," Working Papers, Business School - Economics, University of Glasgow 2013_13, Business School - Economics, University of Glasgow.
    10. Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios, 2012. "Higher co-moments and asset pricing on London Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(3), pages 913-922.

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