An examination of alternative CAPM based models in UK stock returns
作者： Jonathan Fletcher , Joseph Kihanda
DOI: 10.1016/J.JBANKFIN.2004.11.002
关键词: Stock (geology) 、 Stochastic discount factor 、 Actuarial science 、 Overfitting 、 Economics 、 Discriminative model 、 Predictability 、 Capital asset pricing model 、 Portfolio 、 Conditional variance
摘要: Abstract We evaluate the performance of unconditional and conditional versions seven stochastic discount factor models in UK stock returns between January 1975 December 2001. find that four-moment capital asset pricing model (CAPM) has best among we consider terms lowest [Hansen, L.P., Jagannathan, R., 1997. Assessing specification errors models. Journal Finance 52, 591–607] distance measure explaining time-series predictability industry portfolio excess returns. Conditional also do a better job than However superior CAPM, general, arises part due to overfitting data.
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