Picture of athlete cycling

Open Access research with a real impact on health...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by Strathclyde researchers, including by researchers from the Physical Activity for Health Group based within the School of Psychological Sciences & Health. Research here seeks to better understand how and why physical activity improves health, gain a better understanding of the amount, intensity, and type of physical activity needed for health benefits, and evaluate the effect of interventions to promote physical activity.

Explore open research content by Physical Activity for Health...

Arbitrage and the evaluation of linear factor models in U.K. stock returns : the official publication of the Eastern Finance Association

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.

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