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

  • Fletcher, Jonathan
  • Kihanda, Joseph
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4FBM1RK-2/2/df426a4348ecdd5b9477026f0d82ff26
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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    9. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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    19. Heber Farnsworth, 2002. "Performance Evaluation with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, vol. 75(3), pages 473-504, July.
    20. Dahlquist, Magnus & Söderlind, Paul, 1997. "Evaluating Portfolio Performance with Stochastic Discount Factors," SSE/EFI Working Paper Series in Economics and Finance 175, Stockholm School of Economics, revised 01 Sep 1998.
    21. Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
    22. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    23. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    24. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
    25. Dong-Hyun Ahn & Jennifer Conrad & Robert F. Dittmar, 2003. "Risk Adjustment and Trading Strategies," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 459-485.
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    30. 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.
    31. Jonathan Fletcher & David N. Forbes, 2004. "Performance Evaluation Of U.K. Unit Trusts Within The Stochastic Discount Factor Framework," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(2), pages 289-306.
    32. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
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