Hung, Daniel Chi-Hsiou; Shackleton, Mark; Xu, Xinzhong - In: Journal of Business Finance & Accounting 31 (2004-01) 1-2, pp. 87-112
In this paper we examine the variables that explain the cross-section of UK stock returns. Previous studies have found that the CAPM beta has moderate or even insignificant explanatory power once the Fama French factors are included. However, we control for different realised risk premia in up...