Beta, size, book-to-market equity and returns: A study based on UK data

Morelli, D.A. (2007) Beta, size, book-to-market equity and returns: A study based on UK data. Journal of Multinational Financial Management, 17 (3). pp. 257-272. ISSN 1042-444X. (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1016/j.mulfin.2006.12.003

Abstract

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.

Item Type: Article
Uncontrolled keywords: Beta; Size; Book-to-market equity
Subjects: H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Suzanne Duffy
Date Deposited: 28 Apr 2008 09:08
Last Modified: 14 Jan 2010 14:10
Resource URI: http://kar.kent.ac.uk/id/eprint/2938 (The current URI for this page, for reference purposes)
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