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- Title
Variation in Expected Stock Returns: Evidence on the Pricing of Equities from a Cross-section of UK Companies.
- Authors
Miles, David; Timmermann, Allan
- Abstract
This article analyses variations in monthly stock returns of business enterprises in Great Britain. It uses data on the stock market valuations, the profit and loss account and the balance sheet structures of a large sample of Great Britain firms to assess which characteristics are systematically related to equity returns. The study focuses on assessing the information content of company characteristics that have been found useful in other studies; more specifically, it looks at the value of information on earnings-price ratios, the ratio of the book value of equity to its market value, leverage, dividend yields and company size. E.F. Fama and K.R. French (1992, 1993) present exhaustive evidence on the value of these variables in explaining United States stock returns. So far, no comparable studies have been undertaken using Great Britain data. This paper used the data on equity returns and company characteristics to undertake three different types of test. First, equity returns on company characteristics were regressed. Second it investigates further the influence of those factors that the simple regressions suggested.
- Subjects
UNITED Kingdom; STOCKS (Finance); BUSINESS enterprises; DEBT-to-equity ratio; MARKET prices; EARNINGS per share
- Publication
Economica, 1996, Vol 63, Issue 251, p369
- ISSN
0013-0427
- Publication type
Article
- DOI
10.2307/2555012