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The cross-section of stock returns in an early stock market

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  • Ye, Qing
  • Turner, John D.

Abstract

Using a new dataset which contains monthly data on 1015 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.

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  • Ye, Qing & Turner, John D., 2014. "The cross-section of stock returns in an early stock market," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 114-123.
    • Handle: RePEc:eee:finana:v:34:y:2014:i:c:p:114-123
    DOI: 10.1016/j.irfa.2014.05.007
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    More about this item

    Keywords

    Cross-sectional stock returns; Anomalies; Size effect; Value effect;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913

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