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

Qing Ye; John D. Turner

doi:10.1016/j.irfa.2014.05.007

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

Qing Ye^*, John D. Turner

^*Corresponding author for this work

Queen's University Belfast

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

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.

Original language	English
Pages (from-to)	114-123
Number of pages	10
Journal	International Review of Financial Analysis
Volume	34
DOIs	https://doi.org/10.1016/j.irfa.2014.05.007
Publication status	Published - Jul 2014
Externally published	Yes

Keywords

Anomalies
Cross-sectional stock returns
Size effect
Value effect

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10.1016/j.irfa.2014.05.007

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AB - 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.

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KW - Value effect

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

Abstract

Keywords

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