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Title: A quantitative analysis of multi-factor, risk and expected-returns models in the UK equity market
Author: Pegas, Paraskevas
ISNI:       0000 0001 3482 2529
Awarding Body: University of Portsmouth
Current Institution: University of Portsmouth
Date of Award: 2008
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This study investigates the performance of the most widely used risk-factor, expected returns-risk factor, and expected-returns models. The models evaluated include the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), the 3-factor model of Fama and French (1993), the 4-factor model of Carhart (1997) and finally a multifactor expected-returns model. These financial models are important in terms of both their theoretical-academic justification as well as commercial application. The performance evaluation of these models is carried out using a new bias-free database (UKED), for the period 1987-2002.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available