TITLE

The cross-section of stock returns in an early stock market

AUTHOR(S)
Ye, Qing; Turner, John D.
PUB. DATE
July 2014
SOURCE
International Review of Financial Analysis;Jul2014, Vol. 34, p114
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Using a new dataset which contains monthly data on 1015 stocks traded on the London Stock Exchange between 1825 and 1870, we investigate the cross section of stock returns in this early capital market. Unique features of this market allow us to evaluate the veracity of several popular explanations of asset pricing behavior. Using portfolio analysis and Fama–MacBeth regressions, we find that stock characteristics such as beta, illiquidity, dividend yield, and past-year return performance are all positively correlated with stock returns. However, market capitalization and past-three-year return performance have no significant correlation with stock returns.
ACCESSION #
98359769

 

Related Articles

  • It's not all relative. Abrams, Colin // Finance Week;8/31/2005, p32 

    Presents an analysis on the relationship of financial & industrial index (findi) and resources index (resi) in determining the performance of these two major sector. Process of obtaining ratio line; Comparison on the performance of findi and resi stocks from 2002-2005.

  • A mediating role of debt level on the relationship between determinants of capital structure and firm's financial performance. Ramadan, Abdulhadi H.; Chen, Jean J.; Al-Khadash, Husam Aldeen; Atmeh, Muhannad // International Research Journal of Applied Finance;Jan2012, Vol. 3 Issue 1, p65 

    Purpose: This research attempts to investigate whether the link between the determinants of capital structure and a firm's performance exists in the UK context, and whether debt level plays a mediating role in such a relationship if it exists. In addition, we run F test according to Schroeder,...

  • IMI Gets $175 Million in Private Funds via HSBC/RBS.  // Private Placement Letter;6/22/2009, p1 

    The article reports that in a private placement led by HSBC Securities Inc. and RBS Greenwich Capital, engineering company IMI PLC received funds worth $175 million. The deal consisted of two tranches, a $75 million seven-year bullet, and a $100 million 10-year bullet. IMI is publicly-traded on...

  • CORPORATE FINANCING IN GREAT BBITAIN.  // Law & Contemporary Problems;Winter1952, Vol. 17 Issue 1, p239 

    The article offers information on corporate financing in Great Britain. It states that the capital market is developed by private enterprise, and its foundation is the financial institution, the issuing house, which keeps itself acquainted with the industry for capital, and with the views and...

  • Consolidation trend grows.  // MEED: Middle East Economic Digest;9/28/2007, Vol. 51 Issue 39, p5 

    The article reports that Doha, Qatar and Dubai, United Arab Emirates will hold a 51 percent stake in the London Stock Exchange (LSE), with Qatar holding 23 percent and Dubai 28 percent. Doha and Dubai will sit at the centre of an international capital market network that connects the Middle East...

  • COMPANY VITAE MORRISONS.  // Management Today;Oct2010, p18 

    The article profiles the company Morrison PLC with its economic performance on the London Stock Exchange.

  • Miners and Cyprus concerns drag FTSE down further.  // Fundweb;3/19/2013, p2 

    The article discusses the stock indexes in the FTSE 100 which ended on March 19, 2013 with modestly behind after the mining sector was hit by demand, worries and concerns resulted from Cypriot bailout.

  • US jobs data drives FTSE 100 to five-year high. Scott, Philip // Fundweb;5/3/2013, p1 

    The article reports that the FTSE 100 Index has climbed to a five-year high as the market welcomed jobs data from the U.S.

  • Companies Not Reporting Risk. J. W. // Risk Management (00355593);Jul2010, Vol. 57 Issue 6, p45 

    The article discusses the report by Black Sun, a consultancy firm in London, England, which shows that the FTSE 100 corporations do not provide information regarding company risks to their shareholders and members of the board.

Share

Read the Article

Courtesy of NEW JERSEY STATE LIBRARY

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics