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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. ISSN 07328516

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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, Finance, Economics and Econometrics
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: 05 Sep 2014 04:08
URI: http://strathprints.strath.ac.uk/id/eprint/16008

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