An Empirical Examination of the Incremental Contribution of Stock Characteristics in UK Stock Returns

Jonathan Fletcher
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Jonathan Fletcher: Department of Accounting and Finance, Stenhouse Building, University of Strathclyde, 199 Cathedral Street, Glasgow G4 0QU, UK

IJFS, 2017, vol. 5, issue 4, 1-19

Abstract: This study uses the Bayesian approach to examine the incremental contribution of stock characteristics to the investment opportunity set in U.K. stock returns. The paper finds that size, book-to-market (BM) ratio, and momentum characteristics all make a significant incremental contribution to the investment opportunity set when there is unrestricted short selling. However, no short selling constraints eliminate the incremental contribution of the size and BM characteristics, but not the momentum characteristic. The use of additional stock characteristics such as stock issues, accruals, profitability, and asset growth leads to a significant incremental contribution beyond the size, BM, and momentum characteristics when there is unrestricted short selling, but no short selling constraints largely eliminates the incremental contribution of the additional characteristics.

Keywords: stock characteristics; investment opportunity set; no short selling (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:5:y:2017:i:4:p:21-:d:114588

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