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

Qing Ye*, John D. Turner

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)


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 languageEnglish
Pages (from-to)114-123
Number of pages10
JournalInternational Review of Financial Analysis
Publication statusPublished - Jul 2014
Externally publishedYes


  • Anomalies
  • Cross-sectional stock returns
  • Size effect
  • Value effect


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