UK Excess Share Returns: Firm Size and Volatility

Patricia Fraser

Scottish Journal of Political Economy, 1996, vol. 43, issue 1, 71-84

Abstract: Using the family of GARCH-M(p,q) models and U.K. data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalization is an important factor in the analysis of risk-return relationships. The evidence reported supports the view that, although both portfolios appear to be driven by the persistence of volatility shocks, there exists significant differences in risk-return behavior. Copyright 1996 by Scottish Economic Society.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scotjp:v:43:y:1996:i:1:p:71-84

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