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Volumn 27, Issue 2, 2004, Pages 289-306

Performance evaluation of U.K. unit trusts within the stochastic discount factor framework

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Indexed keywords


EID: 2942616522     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2004.00084.x     Document Type: Article
Times cited : (11)

References (15)
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  • 3
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    • Fund returns and trading expenses: Evidence on the value of active fund management
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  • 4
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    • Cochrane, J.H.1
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    • Nonlinear pricing kernels, kurtosis preference and cross-section of equity returns
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    • Dittmar, R.1
  • 8
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F. and K. R. French 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 10
    • 0036289868 scopus 로고    scopus 로고
    • U.K. unit trust performance: Does the benchmark or the measure matter?
    • Fletcher, J. and D. Forbes, 2002, U.K. unit trust performance: Does the benchmark or the measure matter? Journal of Financial Services Research 21, 195-218.
    • (2002) Journal of Financial Services Research , vol.21 , pp. 195-218
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  • 11
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    • Assessing specification errors in stochastic discount factor models
    • Hansen, L. P. and R. Jagannathan, 1997, Assessing specification errors in stochastic discount factor models, Journal of Finance 52, 591-607.
    • (1997) Journal of Finance , vol.52 , pp. 591-607
    • Hansen, L.P.1    Jagannathan, R.2
  • 12
    • 0040186059 scopus 로고    scopus 로고
    • Conditional skewness in asset pricing tests
    • Harvey, C. R. and A. Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance 55, 1263-95.
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    • Harvey, C.R.1    Siddique, A.2
  • 13
    • 0010962742 scopus 로고    scopus 로고
    • The conditional CAPM and the cross-section of expected returns
    • Jagannathan, R. and Z. Wang, 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance 51, 3-53.
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  • 14
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    • Lettau, M. and S. Ludvigson, 2001, Resurrecting the C (CAPM): A cross-sectional test when risk premia are time-varying, Journal of Political Economy 109, 1238-87.
    • (2001) Journal of Political Economy , vol.109 , pp. 1238-1287
    • Lettau, M.1    Ludvigson, S.2
  • 15
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    • A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.