TAILIEUCHUNG - Efficiency of the UK stock exchange

This paper investigates the dynamics of the factors of the Fama & French (1993) model using data from the UK financial market. Since financial markets are exposed to exogenous and endogenous structural changes due to the implementation of new regulative guidelines and/or the fluctuation of investors’ behavior or the unanticipated financial crises, my analysis is based on an econometric methodology that accounts for structural breaks and regimes shifts. According to the empirical results of the paper, although the functioning of the conventional risk premiums seems to adequately explain the cross-sectionality of share returns, there exists instability on the parameter set, which is associated with the fundamentals of the UK economy. Finally, the implications of these results shed much light on the contribution of the recent financial crisis into the informational efficiency of the UK financial market. Thus, although the current liquidity crisis is linked with unanticipated imbalances in the economic environment, it might have been a good opportunity for individual and institutional investors to revise their investing strategies, since the excess returns’ risk premia have reached more informative regimes. | Efficiency of the UK stock exchange

• Đầu tư Chứng khoán
• Efficient market hypothesis
• Three factor model
• Regime shift
• Financial crises
• The UK stock exchange
• Sciences and humanities
• Unaccounted forms of complexity
• Market hypothesis paradigm
• Informational efficiency
• Essentials of Investments
• The Efficient Market Hypothesis
• Versions of the EMH
• Types of Stock Analysis
• Resource Allocation
• How Tests Are Structured
• Statistical and economic significance
• Calendar anomalies in Vietnam
• Dummy Variable Regression
• Vietnam’s stock market
• Market structure
• Structure conduct performance hypothesis
• Efficient structure hypothesis
• Bank risk
• Bank profitability
• Generalized method of moments
• Investment Analysis
• The active portfolio
• Market Efficient Theory
• Seasoned equity offering
• Risk of price fluctuation
• Abnormal return
• Market efficiency
• Investment companies
• Efficient diversification
• Financial instruments
• Securities markets
• Prospect theory
• Investor sentiment
• Herd behavior
• Index of Consumer Sentiment
• Day of the week
• Zimbabwe stock exchange
• Overall stock market returns
• Establish whether returns
• motivations include fear
• natural resources
• Environmental Electromagnetic
• Female Fertility
• Marker CA 125
• Spontaneous Abortion
• Empirical evidence
• Behavioral finance
• Technical analysis
• Option valuation
• Futures markets
• The economics of money
• Financial markets
• Rational expectations
• Understanding interest rates
• ASEAN stock markets
• Granger causality test
• Rolling window method
• Shannon entropy
• Financial system
• The stock market
• Bài giảng Đầu tư chứng khoán
• Đầu tư chứng khoán
• ĐỊnh giá cổ phiếu
• Thị trường cổ phiếu
• Thị trường hiệu quả
• Phân loại cổ phiếu
• Lecture Investments
• Portfolio theory
• Equilibrium in capital markets
• Investment environment
• Risk adjusted excess returns
• Most admired companies
• Efficient market hypothesis
• Admirable performance
• Generate admirable stock performance relative