IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v21y1997i5p641-660.html
   My bibliography  Save this article

UK stock returns and robust tests of mean variance efficiency

Author

Listed:
  • Clare, A. D.
  • Smith, P. N.
  • Thomas, S. H.

Abstract

No abstract is available for this item.

Suggested Citation

  • Clare, A. D. & Smith, P. N. & Thomas, S. H., 1997. "UK stock returns and robust tests of mean variance efficiency," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 641-660, May.
  • Handle: RePEc:eee:jbfina:v:21:y:1997:i:5:p:641-660
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(96)00058-1
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dimson, E & Marsh, P R, 1983. " The Stability of UK Risk Measures and the Problem of Thin Trading," Journal of Finance, American Finance Association, vol. 38(3), pages 753-783, June.
    2. Ghysels, Eric & Hall, Alastair, 1990. "A Test for Structural Stability of Euler Conditions Parameters Estimated via the Generalized Method of Moments Estimator," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 355-364, May.
    3. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    4. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    5. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
    6. Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, Cambridge University Press, vol. 5(02), pages 181-240, August.
    7. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
    8. Hoffman, Dennis L & Pagan, Adrian R, 1989. "Post-Sample Prediction Tests for Generalized Method of Moments Estimators," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(3), pages 333-343, August.
    9. Keim, Donald B., 1985. "Dividend yields and stock returns: Implications of abnormal January returns," Journal of Financial Economics, Elsevier, vol. 14(3), pages 473-489, September.
    10. Clare, A. D. & Thomas, S. H., 1992. "International evidence for the predictability of bond and stock returns," Economics Letters, Elsevier, vol. 40(1), pages 105-112, September.
    11. Lars Peter Hansen & Robert J. Hodrick, 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," NBER Chapters,in: Exchange Rates and International Macroeconomics, pages 113-152 National Bureau of Economic Research, Inc.
    12. Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
    13. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    14. Fletcher, Jonathan, 1994. "The mean-variance efficiency of benchmark portfolios: UK evidence," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 673-685, September.
    15. Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
    16. Cumby, Robert E., 1990. "Consumption risk and international equity returns: some empirical evidence," Journal of International Money and Finance, Elsevier, vol. 9(2), pages 182-192, June.
    17. Shanken, Jay, 1985. "Multivariate tests of the zero-beta CAPM," Journal of Financial Economics, Elsevier, vol. 14(3), pages 327-348, September.
    18. Clare, A.D. & Thomas, S.H., 1992. "International evidence for the predictability of bond and stock returns," Discussion Paper Series In Economics And Econometrics 9206, Economics Division, School of Social Sciences, University of Southampton.
    19. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    20. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-554, June.
    21. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
    22. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    23. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. G.S Morgan & Peter N. Smith & S.H. Thomas, "undated". "Portfolio return autocorrelation and non-synchronous trading in UK equities," Discussion Papers 00/46, Department of Economics, University of York.
    2. Wang, Kevin Q., 2002. "Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 133-169, March.
    3. N. Groenewold, 2000. "The Sensitivity of Tests of Asset Pricing Models to the IID-normal Assumptions: Contemporaneous evidence from the US and UK stock markets," Economics Discussion / Working Papers 00-06, The University of Western Australia, Department of Economics.
    4. Groenewold, Nicolaas & Fraser, Patricia, 2002. "Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 491-510.
    5. N. Groenewold & P. Fraser, 1999. "Violation of the IID-Normal Assumption: Effects on tests of asset-pricing models using Australian data," Economics Discussion / Working Papers 99-12, The University of Western Australia, Department of Economics.
    6. Bagella, Michele & Becchetti, Leonardo & Carpentieri, Andrea, 2000. ""The first shall be last". Size and value strategy premia at the London Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 24(6), pages 893-919, June.
    7. Fletcher, Jonathan, 2001. "An examination of predictable risk and return in UK stock returns," Journal of Economics and Business, Elsevier, vol. 53(6), pages 527-546.
    8. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    9. Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
    10. Groenewold, Nicolaas & Fraser, Patricia, 2001. "Tests of asset-pricing models: how important is the iid-normal assumption?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 427-449, September.
    11. Morgan, Gareth & Thomas, Stephen, 1998. "Taxes, dividend yields and returns in the UK equity market," Journal of Banking & Finance, Elsevier, vol. 22(4), pages 405-423, May.
    12. Galema, Rients & Plantinga, Auke & Scholtens, Bert, 2008. "The stocks at stake: Return and risk in socially responsible investment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2646-2654, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:21:y:1997:i:5:p:641-660. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.