UK stock returns and robust tests of mean variance efficiency

We test both the unconditional and conditional Mean Variance Efficiency of the UK stockmarket, paying particular attention to choosing a suitable set of instruments for the conditional version of the model. By considering more carefully than previous authors the pricing of economic risk within the m...

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Veröffentlicht in:	Journal of banking & finance 1997-05, Vol.21 (5), p.641-660
Hauptverfasser:	Clare, A.D., Smith, P.N., Thomas, S.H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Banking CAPM Economic models Estimating techniques Finance GMM Predictability Rates of return Securities markets Stock exchanges Stock returns Studies United Kingdom Valuation Variance Variances
Online-Zugang:	Volltext
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