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UK Excess Share Returns: Firm Size and Volatility

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  • Fraser, Patricia

Abstract

Using the family of GARCH-M(p,q) models and U.K. data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalization is an important factor in the analysis of risk-return relationships. The evidence reported supports the view that, although both portfolios appear to be driven by the persistence of volatility shocks, there exists significant differences in risk-return behavior. Copyright 1996 by Scottish Economic Society.

Suggested Citation

  • Fraser, Patricia, 1996. "UK Excess Share Returns: Firm Size and Volatility," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(1), pages 71-84, February.
    • Handle: RePEc:bla:scotjp:v:43:y:1996:i:1:p:71-84
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    Cited by:

    1. 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.
    2. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, "undated". "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York.
    3. Menelaos Karanasos & J. Kim, "undated". "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.
    4. Lawrence Leger & Vitor Leone, 2008. "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 228-244, August.
    5. Xing, Xuejing & Howe, John S., 2003. "The empirical relationship between risk and return: evidence from the UK stock market," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 329-346.

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