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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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 Download reference. The following formats are available: HTML
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