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.. doi:10.1007/s11156-013-0390-8. ISSN 0924-865X
Academics and practitioners have frequently debated the relationship between market capitalization and expected return. We apply the Markowitz efficient frontier approach to d...
Hwang, T., Gao, S. S. & Owen, H. (2011). A two-pass model study of the CAPM: evidence from the UK stock market. Studies in economics and finance. 29, 89-104. doi:10.1108/10867371211229118. ISSN 1086-7376
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...