Betas V characteristics: Do stock characteristics enhance the investment opportunity set in UK stock returns?

被引:0
作者
Fletcher, Jonathan [1 ]
机构
[1] Univ Strathclyde, Dept Accounting & Finance, 199 Stenhouse Bldg,Cathedral St, Glasgow G4 0QU, Lanark, Scotland
关键词
Linear factor models; Conditional models; Stock characteristics; Bayesian test; CROSS-SECTION; CONDITIONING INFORMATION; RISK; EQUILIBRIUM; EFFICIENCY; MODELS; DIVERSIFICATION; CONSTRAINTS; PERFORMANCE; PORTFOLIOS;
D O I
10.1016/j.najef.2018.04.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
I use the Bayesian approach of Wang (1998) to examine if stock characteristics or factor models make a significant incremental contribution to the investment opportunity set in U.K. stock returns. The paper finds that both stock characteristics and factor models make a significant incremental contribution to the investment opportunity set for unconstrained portfolio strategies. No short selling constraints eliminates the incremental contribution of factor models but the incremental contribution of stock characteristics remains significant, whether unconditional or conditional factor models used. My study suggests that stock characteristics make the dominant contribution to the investment opportunity set of U.K. stock returns.
引用
收藏
页码:114 / 129
页数:16
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