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Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns

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  • Stuart Hyde

    (University of Manchester, Manchester Business School, United Kingdom)

  • Mohamed Sherif

    (Department of Accountancy, Economics and Finance Riccarton, Heriot-Watt University, United Kingdom)

Abstract
We analyse the ability of the conditional asset pricing models to explain the cross-sectional variation in UK stock returns. We examine conditional versions of the Sharpe-Linter CAPM and the Fama-French three-factor model. The results indicate that the conditional single-factor model is rejected in all instances. However, there is evidence supportive of the three-factor model. A specification of this model that allows for time variation in conditional covariances, conditionally expected returns and the conditional variance of the market cannot be rejected. Copyright © 2009 John Wiley & Sons, Ltd.

Suggested Citation

  • Stuart Hyde & Mohamed Sherif, 2010. "Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 198-211.
    • Handle: RePEc:ijf:ijfiec:v:15:y:2010:i:2:p:198-211
    DOI: 10.1002/ijfe.400
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    References listed on IDEAS

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    4. Balakumar, Suganya & Dash, Saumya Ranjan & Maitra, Debasish & Kang, Sang Hoon, 2022. "Do oil price shocks have any implications for stock return momentum?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 637-663.

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