Portsmouth Business School

Thesis summary

My thesis focuses on expected-returns models, an area that has had little research since Haugen and Baker (1996). Multi-factor expected-returns models employ a number of factors that proxy for psychological and behavioural biases as well as risk. My PhD research evaluates the performance of both risk asset pricing models and multi-factor expected returns models and corroborates the behavioural finance hypothesis of the economically and statistically significant out-performance of expected-returns models. In addition my research investigates the different methodological techniques used in the literature to construct expected returns and mimicking portfolios and finds that different methods produce statistically significant differences in both regression coefficients and coefficients of determination.