We would like to thank the Leverhulme Trust for supporting the project which gave rise to this investigation. We would also like to thank the Editor, Peter Pope, and an anonymous referee for their constructive and helpful comments on an earlier draft of the paper. 2 Constructing and Testing Alternative Versions of the Fama-French and Momentum Portfolios and Factors in the UK AbstractThe aim of this paper is to construct and test alternative versions of the Fama-French and Carhart models for the UK market. We conduct a comprehensive analysis of such models, forming risk factors using approaches advanced in the recent literature including value weighted factor components and various decompositions of the risk factors. We also test whether such factor models can at least explain the returns of large firms. Despite these various approaches, we join Michou, Mouselli and Stark (2007) and Fletcher (2010) in demonstrating that such factor models fail to reliably describe the cross-section of returns in the UK.

This paper constructs and tests alternative versions of the Fama-French and Carhart models for the UK market with the purpose of providing guidance for researchers interested in asset pricing and event studies. We conduct a comprehensive analysis of such models, forming risk factors using approaches advanced in the recent literature including value-weighted factor components and various decompositions of the risk factors. We also test whether such factor models can at least explain the returns of large firms. We find that versions of the fourfactor model using decomposed and value-weighted factor components are able to explain the cross-section of returns in large firms or in portfolios without extreme momentum exposures. However, we do not find that risk factors are consistently and reliably priced.

In this paper we develop some new models for the prediction of failure in the UK that add to the literature by showing that "dynamic logit" models that incorporate market variables of the form developed by Chava and Jarrow (2004) and Campbell et al (2008) add considerable power to pure accounting-based models. Importantly, we extend the logic of Campbell et al (2008) by showing that incorporating macroeconomic variables adds predictive power, both in and out-of-sample, to market-based accounting models. Last, we show that adding industry controls gives a modest improvement to such models for UK firms in the case of a models based on accounting, market and economic variables, but a greater improvement in terms of a pure accounting based model.

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