UK Evidence on the Characteristics versus Covariance Debate
用英国数据检验Fama-French三因子模型，发现股票收益溢价与因子载荷关系不大，小盘和价值股无论协方差如何都获得更高收益，补充了美日研究证据。
Abstract We evaluate the Fama–French three‐factor model in the UK using the approach of Daniel and Titman (1997) to determine whether characteristics or covariance risk better explains the size and value premiums. Across all three factors, we find that return premiums bear little relationship to the corresponding loadings. We show that small and value stocks earn higher returns irrespective of their return covariance. Our study contributes to the existing literature by reporting original findings on the Fama–French three‐factor model in the UK and by reporting results that complement existing evidence from similar studies in the USA and Japan.