Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?

Jonathan Fletcher

The North American Journal of Economics and Finance, 2018, vol. 46, issue C, 114-129

Abstract: 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.

Keywords: Linear factor models; Conditional models; Stock characteristics; Bayesian test (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940817300864
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129

DOI: 10.1016/j.najef.2018.04.003

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().