Fletcher, Jonathan (2010) Arbitrage and the evaluation of linear factor models in U.K. stock returns : the official publication of the Eastern Finance Association. Financial Review, 45 (2). pp. 449-468. ISSN 07328516
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
I examine the impact of the no arbitrage restriction on the estimation and evaluation of linear fac-tor models in U.K. stock returns. The no arbitrage restriction reduces volatility and eliminates most of the negative values of the fitted stochastic discount factor models. All of the factor mod-els are rejected and there are significant differences in the pricing performance between models under the no arbitrage restriction. The no arbitrage restriction can have a significant impact on both the parameter estimates and pricing errors for some models
| Item type: | Article |
|---|---|
| ID code: | 16008 |
| Notes: | To be ascertained. http://suprimo.lib.strath.ac.uk/primo_library/libweb/action/search.do?scp.scps=scope%3A(SU)&srt=rank&tab=local&mode=Basic&dum=true&fn=search&frbg=&dstmp=1264605391401&dscnt=0&ct=search&vid=SUVU01&indx=1&vl(freeText0)=%22the%20Financial%20Review%22&vl(54032236UI0)=lsr02&vl(69186824UI1)=all_items |
| Keywords: | stochastic discount factor, no arbitrage, distance measures, impact analysis, Finance |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Miss Donna McDougall |
| Date Deposited: | 02 Feb 2010 13:20 |
| Last modified: | 15 Jan 2013 08:31 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/16008 |
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