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| Author: | Lee, E. Liu, W. Strong, N. |
| Title: | UK evidence on the characteristics versus covariance debate |
| Journal: | European Financial Management
2007 : SEP, VOL. 13:4, p. 742-756 |
| Index terms: | return on investment United Kingdom |
| Freeterms: | factor loadings size value |
| Language: | eng |
| Abstract: | This paper evaluates Fama-French three-factor model in the UK using the approach of Daniel and Titman (1997) to determine whether characteristics or covariance risk better explains the size and value premiums. Across all three factors, it is found that return premiums bear little relationship to the corresponding loadings. It is shown that small and value stocks earch higher returns irrespective of their return covariance. |
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