کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
968051 931439 2007 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Beta, size, book-to-market equity and returns: A study based on UK data
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Beta, size, book-to-market equity and returns: A study based on UK data
چکیده انگلیسی

This paper examines the role of beta, size and book-to-market equity as competing risk measurements in explaining the cross-sectional returns of UK securities for the period July 1980 through June 2000. The methodology of [Fama, E., French, K., 1992. The cross-section of expected stock returns. Journal of Finance 47, 427–467] and [Pettengill, G., Sundaram, S., Mathur, I., 1995. The conditional relation between beta and returns. Journal of Financial and Quantitative Analysis 30, 101–116] is adopted. Results show that, when adopting the methodology of [Pettengill, G., Sundaram, S., Mathur, I., 1995. The conditional relation between beta and returns. Journal of Financial and Quantitative Analysis 30, 101–116], where data is segmented between up and down markets, a significant relationship is found between beta and returns even in the presence of size and book-to-market equity. Size is not found to be a significant risk variable, whereas book-to-market equity is found to be priced by the market and is thus a significant determinant of security returns. This is the case irrespective of the methodology adopted.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 17, Issue 3, July 2007, Pages 257–272
نویسندگان
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