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


  • Miles, David
  • Timmermann, Allan


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.

Suggested Citation

  • Miles, David & Timmermann, Allan, 1996. "Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-Section of UK Companies," Economica, London School of Economics and Political Science, vol. 63(251), pages 369-382, August.
  • Handle: RePEc:bla:econom:v:63:y:1996:i:251:p:369-82

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    Cited by:

    1. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed, 2014. "Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame," MPRA Paper 60110, University Library of Munich, Germany.
    2. 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.
    3. Don U.A. Galagedera, 2004. "A survey on risk-return analysis," Finance 0406010, EconWPA.
    4. Chiang, Thomas C. & Zheng, Dazhi, 2015. "Liquidity and stock returns: Evidence from international markets," Global Finance Journal, Elsevier, vol. 27(C), pages 73-97.
    5. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
    6. 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.
    7. 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.
    8. Nawar Hashem & Larry Su, 2015. "Industry Concentration and the Cross-Section of Stock Returns: Evidence from the UK," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 769-785, August.
    9. 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.
    10. Syed Jawad Hussain Shahzad & Saniya Khalid & Saba Ameer, 2016. "CAPM estimates: Can data frequency and time period lend a hand?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-12, June.
    11. repec:eee:jebusi:v:92:y:2017:i:c:p:29-44 is not listed on IDEAS

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