An Empirical Re‐Examination of the Cross‐Section of Expected Returns: UK Evidence

An Empirical Re‐Examination of the Cross‐Section of Expected Returns: UK Evidence This paper is a study of the Fama and French (1992) analysis in the UK context. Consistent with their findings, our results do not support a positive relationship between beta and average monthly returns. We find that book‐to‐market equity and market leverage are consistently significant in explaining UK average returns. Contrary to the Fama‐French evidence, size has an insignificant effect on average returns. A puzzling negative beta‐returns relationship is found in some monthly regressions, and results based on annual data reveal a reversal of betas for the smallest‐size portfolios. Some possible explanations are offered for these findings. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Business Finance & Accounting Wiley

An Empirical Re‐Examination of the Cross‐Section of Expected Returns: UK Evidence

Loading next page...
 
/lp/wiley/an-empirical-re-examination-of-the-cross-section-of-expected-returns-IG8jDkcZeQ
Publisher
Wiley
Copyright
1996 Blackwell Publishers Ltd.
ISSN
0306-686X
eISSN
1468-5957
DOI
10.1111/j.1468-5957.1996.tb01211.x
Publisher site
See Article on Publisher Site

Abstract

This paper is a study of the Fama and French (1992) analysis in the UK context. Consistent with their findings, our results do not support a positive relationship between beta and average monthly returns. We find that book‐to‐market equity and market leverage are consistently significant in explaining UK average returns. Contrary to the Fama‐French evidence, size has an insignificant effect on average returns. A puzzling negative beta‐returns relationship is found in some monthly regressions, and results based on annual data reveal a reversal of betas for the smallest‐size portfolios. Some possible explanations are offered for these findings.

Journal

Journal of Business Finance & AccountingWiley

Published: Dec 1, 1996

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off