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Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies

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  • Miles, David
  • Timmermann, Allan

Abstract

This paper analyzes the variation in expected monthly stock returns for a large cross-section of U.K. companies. Using company attributes as a sorting key, the authors we form portfolios and study their returns relative to the return on the market index. They find that book to market value, and to a lesser extent company size and liquidity, are the only company attributes that appear to contain information about variation in expected returns. The authors consider whether excess returns on their portfolios reflect risk premia or market inefficiency. Copyright 1996 by The London School of Economics and Political Science.

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Bibliographic Info

Article provided by London School of Economics and Political Science in its journal Economica.

Volume (Year): 63 (1996)
Issue (Month): 251 (August)
Pages: 369-82

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Handle: RePEc:bla:econom:v:63:y:1996:i:251:p:369-82

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Cited by:
  1. Mohanty, Roshni & P, Srinivasan, 2014. "The Time-Varying Risk and Return Trade Off in Indian Stock Markets," MPRA Paper 55660, University Library of Munich, Germany.
  2. Allen, D. E. & Cleary, F., 1998. "Determinants of the cross-section of stock returns in the Malaysian stock market," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 253-275.
  3. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
  4. Nawar, Hashem, 2010. "Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK," MPRA Paper 28440, University Library of Munich, Germany, revised Nov 2010.
  5. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
  6. T. C. Mills & J. V. Jordanov, 2003. "The size effect and the random walk hypothesis: evidence from the London Stock Exchange using Markov Chains," Applied Financial Economics, Taylor & Francis Journals, vol. 13(11), pages 807-815.

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