Markowitz efficiency and size effect: evidence from the UK stock market
Journal Article
Hwang, T., Gao, S. S., & Owen, H. (2013)
Markowitz efficiency and size effect: evidence from the UK stock market. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-013-0390-8
Academics and practitioners have frequently debated the relationship between market capitalization and expected return. We apply the Markowitz efficient frontier approach to d...
A two-pass model study of the CAPM: evidence from the UK stock market.
Journal Article
Hwang, T., Gao, S. S., & Owen, H. (2012)
A two-pass model study of the CAPM: evidence from the UK stock market. Studies in economics and finance, 29, 89-104. https://doi.org/10.1108/10867371211229118
Purpose – There has been considerable debate on the linear relationship between systematic risk and return. The purpose of this study is to investigate whether security return...