Systematic factors influencing UK equity returns

    Abstract

    In contrast to most of the empirical literature trying to identify the systematic determinants of stock returns we look at a panel of UK shares. We address the problem of time-variation in market responses to systematic factors by allowing coefficients to vary both over the business cycle and with the type of monetary regime. Signs and significance of… (More)

    Topics

    10 Figures and Tables

    Slides referencing similar topics