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| Author: | Fletcher, J. |
| Title: | An Examination of Alternative Factor Models in UK Stock Returns |
| Journal: | Review of Quantitative Finance and Accounting
2001 : MAR, VOL. 16:2, p. 117-130 |
| Index terms: | FINANCE FINANCING MODELS MODEL TESTING CAPITAL ASSET PRICING |
| Language: | eng |
| Abstract: | This paper examines the mean-variance efficiency of a number of factor models in UK stock returns. The paper also explores, using the approach of MacKinlay (1995), whether missing risk factors or nonrisk-based explanations best explain the pricing errors of the different factor models. The evidence in the paper suggests that the mean-variance efficiency of each factor model is rejected and missing risk factors are unable to explain the pricing errors of any of the models. Some nonrisk-based explanations, which posit a wide spread in abnormal returns, may be a more plausible source of explaining the pricing errors of the factor models. |
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