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

被引：7

作者：

Ye, Qing ^{[1
]}

Turner, John D. ^{[1
]}

机构：

[1] Queens Univ Belfast, Queens Univ Ctr Econ Hist, Belfast BT9 5EE, Antrim, North Ireland

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2014年 / 34卷

关键词：

Cross-sectional stock returns; Anomalies; Size effect; Value effect; BOOK-TO-MARKET; SIZE-RELATED ANOMALIES; INSTITUTIONAL INVESTORS; RISK MEASUREMENT; DELISTING BIAS; VALUE PREMIUM; EQUITY; EXCHANGE; SHARES; BETA;

D O I：

10.1016/j.irfa.2014.05.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：114 / 123

页数：10

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