An Examination of Conditional Asset Pricing in UK Stock Returns
Download or Read eBook An Examination of Conditional Asset Pricing in UK Stock Returns PDF written by Jonathan Fletcher and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle.
Author | : Jonathan Fletcher |
Publisher | : |
Total Pages | : |
Release | : 2002 |
ISBN-10 | : OCLC:1291252136 |
ISBN-13 | : |
Rating | : 4/5 (36 Downloads) |
Book Synopsis An Examination of Conditional Asset Pricing in UK Stock Returns by : Jonathan Fletcher
Book excerpt: I examine the empirical performance of various specifications of the capital asset pricing model (CAPM) in UK stock returns, using the stochastic discount framework. When the proxy for the market portfolio includes a proxy for labor income growth in addition to the stock market index, the performance of the CAPM improves. The improvement in performance shows in the magnitude and significance of the pricing errors and in the reduced impact of asset characteristics and other factors in the pricing of assets. There is further improvement when I use conditional versions of the models.