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 of Business Finance & Accounting – Wiley
Published: Dec 1, 1996
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