Factor risk premia in asset pricing models : an analysis of the upturn and downturn of the UK stock market
This doctoral thesis investigates the sign and magnitude of a number of factor risk premia between up/bull and downlbear market movements, it assesses whether the premia of risk factors beside that of the market, also exhibit asymmetry and different signs between uplbull and down/bear markets and wh...
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Heriot-Watt University
2006
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.491459 |