The effects of beta, size and book-to-market on UK stock returns : risk adjustment, characteristic factors and the cross-section of expected stock returns
This research examines the cross-section of expected returns in the UK stock market for the period January 1969-December 2001, with particular reference to the role of risk adjustments and the pricing of characteristic factors. This study has three empirical parts. This first part of the empirical s...
Main Author: | |
---|---|
Published: |
University of Stirling
2004
|
Subjects: | |
Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.403341 |