The cross-section of stock returns in an early stock market
Qing Ye and
John Turner ()
No 14-05, QUCEH Working Paper Series from Queen's University Belfast, Queen's University Centre for Economic History
Using a new dataset which contains monthly data on 1,015 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.
Keywords: cross-sectional stock returns; anomalies; size effect; value effect (search for similar items in EconPapers)
JEL-codes: G12 N23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-ifn
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Journal Article: The cross-section of stock returns in an early stock market (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:qucehw:1405
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