| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5084873 | International Review of Financial Analysis | 2014 | 41 Pages |
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.
Related Topics
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Economics and Econometrics
Authors
Qing Ye, John D. Turner,