Reports of beta's death are premature: evidence from the UK
Clare, A.D., Priestley, R. and Thomas, S.H. (1998) Reports of beta's death are premature: evidence from the UK. Journal of Banking & Finance, 22, (9), 1207-1229. (doi:10.1016/S0378-4266(98)00050-8).
Download
Full text not available from this repository.
Description/Abstract
A number of authors have found that firm size and book-to-market-value capture the cross-sectional variation in average stock returns. More importantly, these variables have been shown to out-perform the CAPM's β coefficient in explaining the cross-section of US stock returns. However, these studies all employ variants of the two-step estimator due to Fama and MacBeth (Fama, E.F., MacBeth, J.D., 1973. Risk, return and equilibrium: Empirical tests. Journal of Political Economy 71, 607–636), which impose implicitly the restriction that idiosyncratic returns are uncorrelated. In this paper we use a one-step estimator due to McElroy et al. (McElroy, M.B., Burmeister, E., Wall, K.D., 1985. Two estimators for the APT model when factors are measured. Economics Letters 19, 271–275) and find a highly significant role for β risk in the UK stock market when we allow for correlation amongst idiosyncratic returns.
| Item Type: | Article |
|---|---|
| ISSNs: | 0378-4266 (print) |
| Related URLs: | |
| Keywords: | beta, one-step estimation, expected returns |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 37367 |
| Date Deposited: | 08 Mar 2007 |
| Last Modified: | 25 Apr 2013 14:04 |
| Contributors: | Clare, A.D. (Author) Priestley, R. (Author) Thomas, S.H. (Author) |
| Date: | 1998 |
| Status: | Published |
| Contact Email Address: | a.d.clare@rdg.ac.uk |
| URI: | http://eprints.soton.ac.uk/id/eprint/37367 |
Actions (login required)
 |
View Item |
