UK stock returns and robust tests of mean variance efficiency

Article Abstract:

An analysis on formal asset pricing models and excess returns revealed that excess returns on stock portfolios traded on the London Stock Exchange can be predicted using a group of instruments which provide investment information. This was found by placing more emphasis on the pricing of economic risk in the mean-variance model. The analysis also confirmed the existence of both conditional and unconditional versions of the Capital Asset Pricing Model when efficient estimations methods are employed.

Securities and Commodity Exchanges, Security and commodity exchanges, Misc Stock Exchanges, United Kingdom, Models, Stocks, Stock exchanges, Investments, London Stock Exchange PLC, Capital assets pricing model, Capital asset pricing model

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Report of beta's death are premature: evidence from the UK

Article Abstract:

Beta functions are found to have a significant role in explaining expected returns in the UK stock market. Beta risk is also found to be a highly stable positive and significant indicator compared to the Fama-MacBeth t-statistic in determining the relationship between 1n(price) and expected returns. Results indicate that Beta has a significant function to perform in the UK market even if other researchers found no use for it in the US markets.

Economics, Research and Development in the Social Sciences and Humanities, Methods, Usage, Dividends, Ratio analysis, Functions, Beta, Beta functions

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A word of caution on calculating market-based minimum capital risk requirements

Article Abstract:

The use of GARCH-type models in calculating minimum capital risk requirements requires caution, as they can result in the production of inaccurate capital requirements.

Research, Risk (Economics)

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