Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97698
Authors: 
Ye, Qing
Turner, John D.
Year of Publication: 
2014
Series/Report no.: 
QUCEH Working Paper Series 14-05
Abstract: 
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.
Subjects: 
cross-sectional stock returns
anomalies
size effect
value effect
JEL: 
G12
N23
Document Type: 
Working Paper

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