UK evidence on the characteristics versus covariance debate

Keyphrases

• Characteristic Risk 50%
• Covariance 100%
• Covariance Risk 50%
• Fama-French Five-factor Model 100%
• Higher Returns 50%
• Japan 50%
• Reporting Results 50%
• Return Covariance 50%
• Return Premium 50%
• Size Premium 50%
• Small Stock 50%
• Value Premium 50%
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Psychology

• Three-Factor Model 100%

Economics, Econometrics and Finance

• Factor Model 100%